To begin, create a new panel. Right-click on Hierarchy panel and then go to UI | Panel. We can also rename it to keep the project names ordered.

Next, we need to create a button inside the panel. We can do this by right-clicking on the panel and then navigating to UI | Button.

In order to better see, which button is currently selected, let's change some properties of the Button (Script) component. For instance, we could choose a different color for Normal Color, Highlighted Color, and Pressed Color. In this example, let's set Highlighted Color to red and Pressed Color to green, and leave Normal Color as white. Finally, we also need to change Navigation to Vertical.

In order to have the ability to choose among different buttons, we need different buttons in the scene. We can achieve this by duplicating the button. This can be done by pressing Ctrl + D and then placing the duplicated buttons below the original one. Rename the first of these to Button 1 and the second to Button 2. Repeat the same with the Text variable inside the Text (Script) component on the child of the button. As a result, we will be able to distinguish buttons on the screen as well. Finally, repeat this step at least two more times to get three buttons. Once we are done, our scene should look similar to the following:

Now it's time to create our first script. To begin, in the Inspector, go to Add Component | New Script and name it ButtonThroughKeySelection. Then click on Create and Add. While doing this, ensure that the language selected is C Sharp.

Double-click on the script in order to open it in MonoDevelop.

Every time we work with some UI classes, we need to add a using clause on top of our script. This will ensure that we don't have any compilation error when the script is compiled by Unity. Furthermore, since we are also using events, we need to add another using clause. Therefore, at the beginning of our script, we need to get these:

using UnityEngine.UI;
using UnityEngine.EventSystems;
using UnityEngine;
using System.Collections;

Moreover, we need to add a variable for the key that has been chosen. By doing this, we can set that variable in the Inspector:

public class ButtonThroughKeySelection: MonoBehaviour {

  public string key;

Since we don't need to set the initial variables, we can erase the Start() function. In order to implement the detection of the pressed key and change the selected button, we need to write the Update() function in the following way:

public void Update()
  if (Input.GetKeyDown (key))
  {
     EventSystem.current.SetSelectedGameObject(
              this.gameObject);
  }
}

Now we can save the script and add it to one of the three buttons.

Next, set the Key variable with a string that represents a key, for example, space for the spacebar. Once we have done this, we should see something like this:

Finally, we can click on the play button and see whether everything works. After our button is selected, by pressing the key bounded by the variable, we can move through the others with the arrow keys. However, if we re-press our key, which in this example is the spacebar, the selection returns to our button.