The easiest way I do it is treating it like FCP or any other media editor. Think timeline. Using the inspector and the build function, you can create what you are looking for.

A) 1st create your slides that you want.
B) Add the music to the first slide making sure you select "Start movie on click" in the quicktime tab. This will allow you to manipulate it in the Build area.
C) Now, here is the part where you might scratch your head. Go to the next slide and copy the elements (Text box, graphic, etc.) and go back to the previous slide and hit command "V" to paste everything where it was on the other slide. (Yes, it will look like a bunch of unorganized crap)

This is where the Build area comes in. If you select "More Options" at the bottom, a window will open where you can have the objects from slide #2 transition in and out of the slide you are working on. The key is that you need to have objects build out so they do not remain on the slide.

Try this with only one object per slide first, so you can get the hang of it. The nice thing is that Keynote will paste objects that you copy from one slide to the exact position on another slide, so you do not have to sort through the mess.

This is not ideal, but it works. I am hoping that iWork '11 will allow cascading slides that would work that way, but I am not sure if there has been enough request to warrant the change. I hope this helps out if anyone is still looking as I know this is an old post.

Cheers!