well most keyers are based on a plug in from 3rd party companies. shake has 2 awesome keyers built in (though they are from 3rd party vendors); keylight and primatte.
i like to use primatte as my primary keyer, but every keyer (including luma key) has its benefits and you will find yourself using more than one keyer per shot. i recommend watching one of the gnomon shake dvds called "effective keying techniques" to learn the major purposes of each keyer and when to use them.
here are a couple examples:
for this i had to use about 4 keyers and a couple roto shapes to help bring back important edge detail that was lost through color bleed, fragmenting, and interlacing of the crappy SD footage this was shot in.
http://www.whitecrowproductions.net/video/s10\_7\_compare.mov
on this website i was able to get away with doing a single primatte keyer and it came out great (even with the terrible lighting with no rim light haha)
http://www.slowlyrotatingblackman.com