The Arduino is a USB serial port - it appears under Ports here, not under Keyboards!
For that, we need a different kind of chip, a chip that is USB native! USB native chips can act as USB serial ports, but they can also act as MIDI devices, keyboards, mice, audio devices, joysticks, etc. Nearly anything! A nice chip that does all this is the ATmega32U4 (the U is for usb!) .
The Teensy 2.0 is basically this chip, a USB connector, button and some other necessary things. It's very tiny (thus the name) and has a fantastic programming interface that is basically the Arduino + a helper, it runs under Mac, Linux or Windows.
Since this tutorial was written, a number of other 32U4 microcontroller boards have been developed including the large Arduino Leonardo and the smaller Adafruit ItsyBitsy 32u4 - 5V 16MHz, Adafruit ItsyBitsy 32u4 - 3V 8MHz, and Adafruit Feather 32u4 Basic Proto, which can do similar things.