The tattoo on Keamy's right arm is similar to the tattoo on Jack's left arm. They knew each other in Asia, or maybe Keamy was "defined" by Achara.
Keamy appeared visibly upset as he was holding Alex hostage. He appeared to be fighting back tears. He was upset and frightened because Ben seemed to know all about him, evidenced by his anger toward Captain Gault, whom he thought "gave him up."
A genuinely experienced mercenary would not have killed Alex so quickly, because that way he lost his leverage. Better (though definitely more gruesome) would have been to shoot her someplace non-lethal, which would have increased pressure on Ben to save her while she was bleeding. He killed Alex possibly to show that he was not playing games. Ben said "she's just a pawn that means nothing to me, so you're just going to have to kill her..." so Keamy did. Another possible reason is that his emotions got the better of him due to fear of Ben knowing information about him.
This suggests that Keamy was not a "genuinely experienced mercenary". We have any reason to doubt the veracity of Ben's research or Keamy's patent ruthlessness. It is, as suggested here, more likely that he killed Alex "to show that he was not playing games". If Widmore "broke the rules" in allowing Alex to die, Keamy was showing that he doesn't live by anyone's rules and was simply trying to get the job done.
Perhaps he thought if he killed Alex, Ben would break down and turn himself in.
His name is a deliberate anagram for "KARMA ENMITY".
His name is an anagram for "I MAKE MAN TRY"
Keamy kicked a hand grenade towards his partner Omar during a fight with the others. It is possible that this was a deliberate act because he feared that if captured, Omar would give away information under interrogation.
Keamy's birthplace of Las Vegas, Nevada may be an indirect reference to The Stand, which the producers claim is a strong influence to Lost. In the novel by Stephen King, the "Bad People" make their capitol in Las Vegas.
Keamy's 'insanity' began after he killed Alex and came into contact with the Man in Black/Monster. He emerged after the encounter unharmed but slowly going mad with increasingly violent behavior, this could indicate that after his encounter with it he was doing the Monster's bidding by destroying the freighter along with the 'unwanted' visitors to the island onboard.
He also knew that the C4 was going to go off and when due to Keamy setting it up and being tied to the Man in Black by his whim so he knew exactly when to appear to Michael, knowing that Keamy had died. "You can go now."