WP's Movable Type importer currently ignores the Keywords field in MT export files, which is unfortunate when you want to convert a client who wants to switch to WP, but isn't willing to lose their tagging system.
I've modified wp-admin/import/mt.php to convert MT keywords to WordPress postmeta rows as an "mtkeywords" field.
This patch converts to postmeta rather directly to WP core tags because people use MT's Keywords field for all kinds of things besides tagging -- I don't think we can safely assume that MT Keywords should be used as tags in WP. If someone wants to convert them to tags after import and they're using Ultimate Tag Warrior, UTW is able to convert postmeta fields to tags. Hopefully WP core tags will also have this ability.