What are keys for in Diablo 2?

Keys are used to unlock locked chests, which are scattered across the game world. As per this page:

Keys are dropped by monsters or purchased for a very low price in town. They stack 12 high, and are readily available. Each time you open a locked chest, one of your keys is used, and destroyed. There are no locked doors, and never anything in a locked chest you have to have to advance in the game. They are purely a bonus item, but as locked chests are common, you should be sure to always carry some of these (unless you play an Assassin, who can pick locks).