I can't walk you through because others like @samcarter are much more experts and I also do not have the time. But I can give you an example.
\documentclass{beamer}
\usepackage{tikz}
\usetikzlibrary{shapes.callouts,shadows}
\usetikzlibrary{overlay-beamer-styles}
\usepackage{pgfplots}
\usepackage{xparse}
\NewDocumentCommand{\ShadowExplain}{r<> O{} m m}{%
\tikz[remember picture, overlay]
\node[alt={<#1>{drop shadow,opacity=0.8,text opacity=1}{invisible}},
visible on=<#1>,
align=center, fill=blue!20,
rounded corners,draw=none,rectangle callout,
anchor=pointer,callout relative pointer={(-230:1cm)},#2]
at (#3) {{#4}};
}
\begin{document}
\begin{frame}{Redshift}
\begin{overlayarea}{\textwidth}{8cm}
\begin{tikzpicture}[xscale=-1,yscale=0.5,remember picture]
\begin{axis}[hide axis,width=8cm,height=4cm,clip=false]
\addplot[domain=20:300,samples=800,
colormap={}{
color(2cm)=(red);
color(16cm)=(blue);
},
ultra thick, point meta=x*x,mesh]{sin(pow(x,2)/15)};
\end{axis}
\node (observer) at (-0.2,1) {observer};
\node (source) at (7,1) {source};
\end{tikzpicture}
\ShadowExplain<1>{source}{e.g.\ a distant galaxy}
\pause
\ShadowExplain<2>{observer}{some lonely astronomer}
\end{overlayarea}
\end{frame}
\end{document}
This produces a sequence of two slides

The reason why I am preferring beamer very very much over Keynote (and not to mention PowerPoint) is that I have full control over the appearance of things. If I were to decide that the callout color should be different, I'd just have to adjust the macro. And I can access all elements of graphics as illustrated here, I just need to define a node and remember the picture. This also works with external graphics, where I can add nodes/coordinates on top. And, of course, it is soo much easier to typeset nice looking equations. And it is straightforward to make a presentation using a (LaTeX of course) paper or some notes as basis. Finally, this site is full of nice examples, animations and so on.