When you drag a GIF-animation into Keynote, it won’t animate.
You’ll just see a static frame.
There’s a little workaround, though.
This is a way to quickly add an animated gif to Keynote as a video.
I make lots of screen-grab-GIFs with LICECap to collect UX-Elements from Apps and Websites and I’m using this trick to collect them all in one Keynote-File.
April Update: Keynote now supports animated GIFs natively!