You can choose between saving to iPhoto, Aperture or an folder on your Mac (the best choice being the folder you're using to sync with your color iPod).
With Keynote you can choose to generate individual images for each stage of a slide's build. This can generate an extremely large number of images so for large presentations you may choose to only have each complete slide.
You can choose between TIFF and JPEG images. JPEG images take less memory and will correctly handle transparencies in your presentations.