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
and input the commands in your macro. Then type
to stop recording. Then type
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).