I'm not a Keynote user myself, but I received a video today of someone who was stuck with double shadows on text labels. He could disable the drop shadow, but that still left another shadow. It turns out it's rather hidden and unintuitive where to disable this second shadow effect. You can watch his explanation of the problem and solution here.
[robg adds: You can watch the video if you like, but the gist of the problem is that Keynote respects text shadows set on both its own Inspector, and on the Fonts panel (Command-T). If you're seeing double shadows, make sure you've disabled them in both spots -- you may have to widen the Fonts panel to see the Text Shadows box. This tip applies to all of the iWork programs, and to any other program that has its own shadow feature and respects the Fonts panel shadow settings as well.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20091204072317828