[Update 2012-03-08] As discussed in the comments below, Apple broke the Bluetooth connectivity between Keynote and Keynote Remote in iOS 5.0 and 5.0.1. The good news is that they fixed it again in iOS 5.1 [/Update]
When you're wrong, you should admit it: When looking at Keynote Remote, I claimed that the connection between the controlling device and the device being controlled was only possible via WLAN. Turns out I was wrong: It also works with a Bluetooth connection.