Embed video file (which can be played by QuickTime player) into your Keynote presentation
Select File->Export, then go to QuickTime tab
Make sure that "Formats" is Full Quality, Large
Save .mov file somewhere
Open iTunes and D&D the .mov file into "Movies" Library
Select "Advanced" at the menu bar, then "Create iPod or iPhone Version" or "Create iPad or Apple TV Version"
Right click the converted video (now it is .m4v) and select "Get Info" then "Options" tab
Change "Media Kind" from "Movie" to "Music Video"
Sync the video with your iPhone/iPod/iPad
In your iPhone/iPod/iPad, the converted video is located at Music app (not Video app), now you can see loop button when you play the video!
Reference: http://mgd-es.cocolog-nifty.com/blog/2010/10/iphone-4d3b.html (in Japanese)