An emacs keyboard macro is just a recording of user input into emacs, which means that most anything you can do in emacs can be recorded as a macro. Read that again. Pretty powerful.
Here's how it works. To start recording, type
C-x (
and input the commands in your macro. Then type
C-x )
to stop recording. Then type
C-x e
to apply the macro once, or
C-u 0 C-x e
to apply the macro until the bell rings or end of buffer is reached
Keep in mind that you must not ring the bell when defining a keyboard macro (by accident, or with C-g). If you do, you'll have to start all over defining your keyboard macro
Typically I use a keyboard macro when I have a file full of data that needs slight altering, for example a non-standard CSV-like file. I'll define a macro in terms of what needs changing on each line and then apply the macro for each line (until the end of the buffer).