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FWIW, if you export the picture(s) via File | Export, there's an checkbox there for "Include: Title and keywords".

I just tried exporting a picture that way to my desktop, opened it with the Preview program. Tools | Show Inspector | the i tab | IPTC tab shows all of the keywords I had tagged it with.

No clue why it doesn't do that if you drag a picture directly.
 
iPhoto DOES embed keywords

A thousand apologies. How dare I doubt Apple. I did more research than my novice experimenting and discovered a few things. If you:

1. Select your photos
2. Select File/Export
3. Choose JPEG
4. In the options choose "Retain Keywords" and GPS coordinates (optional)

I dragged this copy back to iPhoto and it brought the keyword with it. I also brought it into Photoshop and it retained the keyword. I guess the technology behind this is XMP (developed by Adobe?) and is supported by several Image Organizers. An excellent explanation of this found in Wikipedia:

http://en.wikipedia.org/wiki/Image_organizer

where you can find a list of Image Organizers that support it. Sorry again Apple.
 
Sorry Aristobrat. Your reply was on the next page and I didn't see it. Very cool information about opening in Preview. You can even add keywords there. From the finder I selected "Command I" to get info and expanded "more info" and the keyword was there also.
 
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