What's the difference between using INDEX vs KEY in MySQL?

There's no difference. They are synonyms.

From the CREATE TABLE manual entry:

KEY is normally a synonym for INDEX. The key attribute PRIMARY KEY can also be specified as just KEY when given in a column definition. This was implemented for compatibility with other database systems.

Here is a nice description about the "difference":

"MySQL requires every Key also be indexed, that's an implementation detail specific to MySQL to improve performance."

It is mentioned as a synonym for INDEX in the 'create table' docs: MySQL 5.5 Reference Manual :: 13 SQL Statement Syntax :: 13.1 Data Definition Statements :: 13.1.17 CREATE TABLE Syntax

Nos already cited the section and linked the help for 5.1.

Like PRIMARY KEY creates a primary key and an index for you, KEY creates an index only.