When using Keynote, I noticed that it still has a little way to go before it can be as complete as PowerPoint. For example, there is no timeline feature that will allow a music file to be played over multiple slides.
So if you want to do this, create your Keynote presentation and export as a QuickTime movie (.mov) and open iMovie add your sound and save your new presentation. Its also fun to add film effects to your presentation.
[robg adds: I don't believe you can use this method for an interactive presentation that requires mouse clicking, etc., as the iMovie project will simply play (but perhaps I'm wrong about that...)]
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