I was too looking to do so but found that if you are wanting to stream the video direclty from Vimeo into your presentation then sadly it cannot be done. Keynote does not allow online embeds from vimeo/youtube/dailymotion. You can only insert a video file into your keynote if you have the file on your computer.
I find this extremely disappointing considering PowerPoint supports online video embeds and does this very simply. Google docs also allows streaming embeds into your presentation (although the videos have to come from YouTube - obviously :-)