The "iWork Tour," available under the Help menu in both Pages and Keynote 2, not only presents an overview of some of the main features in each program -- it also is a regular Keynote document, full of clever uses of the new build options in Keynote 2. As such, it can effectively serve as a tutorial for some fairly sophisticated effects.
Interestingly, the file "iWork Tour" in the directory /Library/Application Support/iWork/ is actually an application bundle: right-click (or control-click) on that file and select "Show Package Contents" to reveal that the actual Keynote document is located at /Library -> Application Support -> iWork -> Contents -> Resources -> English.lprog -> iWork Tour.key. Six other languages are available there as well. Save a copy of this file in your Documents folder for experimentation.
Finally, Apple appears to have created a few custom Master Slides (apparently based on the Gradient theme) for the iWork Tour -- the "Main Navigation" slide, in particular, is a nice starting point for an interactive Keynote document with hyperlinks, with its "navigation bar" at the bottom. Choosing "Show Master Slides" from the View menu is probably the simplest way to see them. These then can be modified and saved as custom Master Slides for your own use in other projects.
Mac OS X Hints
http://hints.macworld.com/article.php?story=2005012222140456