I just noticed that if you drag a URL proxy from Safari (and other browsers, probably) into a Keynote document, you get an inline web view to the site rather than a hyperlink -- i.e. the same result as if you'd used Insert: Web View. Very cool.
[robg adds: I tested this with Camino 1.0b1, Firefox 1.5, OmniWeb 5.1, Opera 8.5.1, and Safari 2.0.2, and it works from all of them, except for Firefox. Dragged URLs from Firefox only result in a link in Keynote.]
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http://hints.macworld.com/article.php?story=20051223115919295