You can create some wonderful visual effects with Keynote '09; good enough, in some cases, to make experienced After Effects artists say "You did that in Keynote?!," which is always very satisfying. Despite Keynote's power for presentations, there are a few things that it doesn't do natively -- play video during a transition, for instance. Fortunately, some of these tricks can be accomplished by a long-honored approach known as "faking it."
If you have a video playing in the background of a slide while you trigger a dissolve transition to the next slide, ordinarily you'll see a distracting freeze of the video playback as the transition effect runs. The way around this, usable for many (not all) slide transitions, is to pull the transition forward into the slide with the video.
I do this by grabbing a screenshot of the initial state of the next slide, and then do a build-in action to dissolve (or flip, or what have you) that screenshot into the slide that's playing the video, above the video. The video keeps playing behind the screenshot as it dissolves in, and then you can gracefully move to the next slide, invisibly or with a dissolve -- the placeholder screenshot and the slide should be indistinguishable. In practice, this works better with a fade through black or a solid color than with a slide graphic, as the alignment can be tricky, but if you play around with it you can get it to work well.
Sounds confusing? Allow me to demonstrate with a brief screencast in the 2nd half of the post. You'll see the "vanilla" transition including the video freeze, and then the fake transition that's done by dissolving a full-screen graphic in over the video as it plays. (The video clip is my poorly-shot night line cinematography from the opening of the NYC 14th Street Apple Store.)
Updated to clarify that the process uses a build-in action, not a transition.
Coming up soon: my favorite Keynote trick for visual fireworks.