If you want to embed a video clip into Keynote, you'll need to optimize the file. Video files are often very large and high quality, requiring high-end disk drives and fast computers to play back in real time. However, most video can be optimized for smooth playback within Keynote, as you'll see here. Apple's own QuickTime Player is a good tool to use for optimizing video files. You'll need to have registered QuickTime Pro to use it for that purpose.
QuickTime Pro is automatically unlocked if you install any of Apple's professional video applications (such as Final Cut Studio). If you don't own any of these programs, you can purchase a QuickTime Pro license from Apple's Web site.