Oh boy, where do I start. Another Keynote user clued me in to a few things about PDF exporting, and I did a little of my own testing as a result.
There are TWO ways to export as a PDF:
Export:PDF
This one has NO options. What you get is a file probably slightly larger than the .Key file you started with. Apple doesn't resample anything, and none of your masked photos are cropped. The benefit is that you could bring this into a PDF editor like Adobe Acrobat and modify it. The drawback is that this makes for larger files.
Print: Save as PDF
This option lets you choose to show your builds, but it has its problems too. Using the Print to PDF option makes for a HUGE file size. I printed a 9 meg show with builds and it came in at 67.4 meg. Printing a PDF does at least give you some options, such as making dark backgrounds white and adding a border.
Problems
Making a PDF from Keynote has its problems. Bloated files are only a part of that.
Image Glitches: Many slides will come out with small white dots on them. I found that this was usually tied to a particular image, but not always. Also, some objects will just look bad. I had bullets that looked all rough edged, and one large circle had a small square attached to it that had never been there before. UPDATE: Apple fixed this with an update. If you're using 1.1 or higher you should be okay.
Compositing Glitches: Transparency will be lost, and if you made a nice light watermark on a page, it will come out full strength, making your page look terrible. Drop shadows are also tossed out. The work around is to add shadows and transparency to your images BEFORE bringing them into Keynote. Photoshop or Fireworks can do this properly.
Sizing Glitches: With the Print to PDF option, I also noticed that since the slides weren't filling the PDF page, objects that ran off the edge of my slide would show up in their entirety instead of being cropped. I tried my best to get the output to go full page. I even made a custom page size of 14.22x10.66 (1024X768 at 72dpi) and it still prints in the center of the page. I will do more testing to see if there is some "sweet spot" that we can use. Export to PDF didn't have this problem.
Knowing what things the PDF spec supports, I HOPE Apple will fix these problems in the next version. There is not reason for no transparency, no shadows, and those annoying white dots.