You can add audio files directly from the finder or use the Media Browser in Keynote and click on the audio tab - that will give you access to your iTunes library.
Audio files can be added to an individual slide as an audio object - this allow you to control when the audio starts and also allows more than one audio file on the slide (like sound effects, etc) that can be activated through the Builder Inspector. The length of the audio file can be adjusted using the Quicktime Inspector.
Another way to add audio is to have a background soundtrack that plays across multiple slides. Only one audio soundtrack can be used per presentation file. The audio is placed in the Audio Well of the Document Inspector > Audio tab.
Information about how to use audio as well as types of audio that work with Keynote can be found in the Keynote '09 User Guide available from the Keynote Help Menu (hint: you can download the file as a PDF for future reading).