If you don't need it over-the-top glitzy, my advice is:
use Keynote 3.0.2 to heart's content (dissolve in/out; move in/out; stuff like that)
and then EXPORT to Flash!
Works like a charm.
You can even include ".gif" animations and ".mp3" sound.
What you can't do is expect the gif animation to sail across the screen while it is playing (for example).
Note. This will NOT work in Keynote versions 4 and 5: they removed the export to Flash option--urrgh!