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.