Most keyboards will offer a range of effects and sounds, some of which (organ or wind effects, for instance) you hold and they'll sustain. Others will give that 'fade' effect that you get on a piano. You can also buy a range of accessories that enable the keyboard to emulate the sustain and damping effect of piano pedals.
The other advantages are that they're cheaper at the bottom end, don't need tuning, are 'turn-downable' (or you can practice through headphones - even better), and can provide rhythm and backing accompaniments and tempo indicators..
What you won't get is the action, although there are some very good weighted action keyboards out there that come as near as you can get without the real thing.
Learning keyboard is a little easier than piano in the beginning, because most methods tend to teach by a 'whole chord' system. You only have one stave to follow, where on piano, you have to cope with two.
Try to get a keyboard with at least five octaves, for versatility. Casio are cheap, cheerful and reliable, and I have to say their weighted action is some of the best I've played. But Yamaha win on sound quality, in terms of both sample quality and acoustic clarity. Other good makes are Roland, Korg (used a lot for stage work) and Fender.
These people are some of the best I've dealt with - very helpful and enthusiastic in all the branches I've been into (but not on a Saturday when they're mired out with drooling kids):
http://www.soundcontrol.co.uk/mod_1/pages/inde x.php