I've spent a lot of time fighting with certificates, keys, and provisioning profiles in the time I've been working on iPhone apps for clients and myself. I finally figured out how to make it easy to manage multiple sets of certs/keys (i.e. one per client). Even if you are only working with a single set, though, it's still helpful to keep iPhone stuff separate from the rest of your keychain. I'm going to approach this as if you are starting from scratch, but it's easy enough to fix if you have already set up certs and keys and it should be pretty obvious how to go about it from these instructions.
First off, you need to know your tools. Keychain Access is where all of your certificates and keys (and passwords, and a variety of other things irrelevant to this discussion) live. Xcode, iPhone Configuration Utility, and iTunes all deal with the same store of provisioning profiles, but only the configuration utility is actually good at it. Download it from Apple right now and install it. When working within the iPhone Configuration Utility (hereafter referred to as iPCU) neither iTunes nor Xcode should be running since they will need to be restarted anyway to see any changes you make.
Before anything else, you need to download and install the WWDR intermediate certificate if you haven't already. Get it here and open it in Keychain Access (hereafter referred to as KA). You'll want to install it in either the login or System keychains (it doesn't matter much). Now that you're in KA, create a new keychain (File menu) and name it for the particular program portal you're working with at the moment. I recommend saving it in the default location, ~/Library/Keychains, but if you save it somewhere else just make sure you remember where. You'll need to set a password for it, and you can choose to be as secure or insecure as you like about it; the certs/keys would otherwise be in the login keychain, which is open by default as long as you are logged in, so anything is more secure than the alternative. Follow the program portal instructions for creating a Certificate Signing Request (CSR). Notice that creating the CSR created a private key in the login keychain in KA. Drag that private key to the new keychain you just created (the client keychain). Upload the CSR and go through the process of getting a developer certificate and a distribution certificate. (You'll need both eventually, and you can use the same CSR for both; if you don't, a new private key may be generated for the second CSR, and you'll need to drag that from the login keychain to the client keychain as well.) Install the certificates in the client keychain rather than System or login.
When you are done with this process, you should have a private key (maybe two — see above), a developer certificate, and a distribution certificate in the client keychain. I like to set the keychain to lock after a period of inactivity so Xcode asks me for a password when it codesigns and I know it's doing what I expect. Remember where you saved the keychain file? Make a backup copy of it now and put it somewhere safe (source control, offsite backup, optical media, whatever). If this is the only program portal you deal with, you're done. If not, right-click (or ctrl-click) on the client keychain and choose Delete Keychain "[whatever]".
IMPORTANT: Be sure to choose "Delete References" and not "Delete References & Files"!!! If you choose the wrong one, you will be glad you made that backup copy. KA will close the keychain, but you can open it again when you are working with that program portal again. You can then repeat the process for any other program portals that involve you.
Clearly, if someone else has created the distribution certificate you need to use you will need to get the cert and private key from that person instead. You can still put them in the client keychain once you have them, of course. If you have already been dealing with certs in your login keychain, you might have lots of private keys lying around and no good way to tell which key goes with which cert. I feel like there should be an easy way to tell, but I haven't found it. Instead, create a new keychain and put all but one of the private keys into it, leaving one in the login keychain, then lock that temporary keychain (i.e. click its lock icon in KA). Build something in Xcode that requires the codesigning cert you are testing and see whether it asks for a keychain password. If not, the key you left in the login keychain goes with that cert; otherwise, switch keys and try again. (You can be cleverer about it by locking away half the keys so it's a binary rather than linear search, plus you can test more than one cert at a time, but I leave that as an exercise for the reader.) Eventually you will be able to associate keys with certs and put them in their appropriately separate keychains.
Next up, we'll look at provisioning profiles. There are three kinds of profiles: development, ad hoc, and app store. Both ad hoc and app store are considered distribution profiles, but they behave differently. In fact, ad hoc profile behave more like development profiles than app store profiles. (Note: there may be still yet another profile type for enterprise distribution, but I have no experience with that.) A development or ad hoc profile permits an app with a particular app ID (or ID prefix) to be installed on any of a set of physical devices when signed by one of a set of certificates. For ad hoc, it's only one certificate: the distribution certificate. A device must have the provisioning profile installed on it to run the app, which Xcode does automatically for development profiles. I've had a lot of trouble with ad hoc profiles, and I'm still not confident I can get things working 100% of the time, but I have a better grasp on it than I used to. For the sake of my own sanity I am going to assume that you have figured out how to set up app IDs, devices, and provisioning profiles in the program portal.
There isn't a whole lot more to it, really, except keeping track of which profiles belong to which portals if you are dealing with more than one. I recommend naming the profiles carefully when you create them or, failing that, keeping a text file listing what each profile identifier is for. Whenever you have a new profile you'll want to use to build an app, I recommend installing it in iPCU rather than Xcode. It seems to work more dependably for me. Also, if it's an ad hoc profile, I recommend installing it on the device using iPCU rather than iTunes if at all possible. If you use the multiple certs/keys keychains trick, I'd like to tell you that there is a similarly good way to manage provisioning profiles; I don't know of one. The good thing, though, is that Xcode is smart enough to check the currently open keychains when presenting you with a list of provisioning profiles in a project's (or target's) build settings. If the cert for a particular profile is not available (even if the keychain is locked, its contents are available as long as KA has it listed), it will be grayed out with a message saying <matching certificate identity with private key not found in login keychain>. No matter how many provisioning profiles you have installed from other program portals, only the ones related to the certs and keys you have open will be available, which helps avoid silly mistakes.
I hope this is helpful to someone out there. I know I wish I'd known this stuff when I started developing for the iPhone. Enjoy!
Update! The 3.0 SDK deals with things a little differently. The separate keychains trick still works well, but you need to manually set the default keychain in Keychain Access to whichever one is appropriate for your current project.