Keynote Jigsaw Pieces

Here's one way to obtain shapes that will be editable in Keynote.

First go here
http://www.openclipart.org/

Do a search for Jigsaw and download the svg versions of the ones you'd like to use.

Then, get svg2key
http://mcb.berkeley.edu/labs/zusman/dave/svg2key/

Once you have it installed, run it against the .svg files you downloaded. This will turn the SVG files into Keynote documents which can then be copy/pasted into your own presentation, you can use them as masks, you can make them as large or as small as you like... etc.

Can you be a bit more specific as to what you want to do? Keynote can import PDF and EPS files, and you can likely find jigsaw puzzle piece graphics in those formats on the web. You can also create pieces directly in Keynote, using the Pen tool, but that is likely to be rather laborious.