A number of keys are given particular importance in Lost by being shown on screen or specifically mentioned:
The key to the marshal's handcuffs. Kate unlocked one of the bracelets with the key she took from the unconscious marshal, who hit his head during turbulence, in episode "Pilot, Part 2". Kate then dropped the key in the plane when she reached for the oxygen masks. This key was lost in the crash.
The key to the marshal's safe deposit box number 815, which Kate used to open the safe deposit box in the New Mexico bank in episode "Whatever the Case May Be". How Kate obtained that key is still a mystery.
The key to the marshal's Halliburton case, in episode "Whatever the Case May Be". Kate apparently took the key from the marshal's wallet. Case and key ended up in Jack's possession for a time. He finally took it off in "The Long Con". Its current possessor is unknown.
Tom Brennan's keys. When Kate ran from the hospital in Iowa, she said, "I need your car keys," and Tom gave her his set of keys, in episode "Born to Run".
The key to Helen's place, which she gave John as a six-month anniversary present in episode "Orientation".
John's set of keys, which Helen took and threw on Anthony Cooper's property, in episode "Orientation". What happened to those keys is unknown.
The key to the marshal's handcuffs. Kate unlocked the handcuffs she took from the marshal after his car went off the road, in episode "What Kate Did".