Keynote: will videos play on another device?

if the videos are "embedded" into the file

to embed media into the Keynote file, go to: Keynote > Preferences > General tab and select "copy audio and movies into document"

1) If they are using Mac with Keynote, will the video's play for them?

If the video plays correctly on your system, they should play fine on other Macs with a recent version of Keynote installed

2) If they do not us a Mac, will thy play?

Keynote files can only be played on Mac

For other operating systems export to Movie (File > Export > Movie)

3) is there a way to increase the likelihood of compatibility? Converting to a Preview file for example?

Preview can not open convert or play video, export to movie as stated above

4) if none of the above, is it better to simply provide a link to a Youtube or Vimeo hosted video?

That is another alternative if considered practical