When they say keys, they don't mean regular keys used to open chests. They are talking about special keys called the key of hate, key of terror and key of destruction. The keys are randomly dropped by Nihlathak, Countess, and Summoner.
If you collect one of each key and transmute them, it opens a portal. There are three possible portals (furnace of pain, matrons den and forgotten sands). Each portal has a boss (Lilith, Duriel or Izual). If you can kill the bosses, each one drops a body part (eye, horn or brain).
Transmuting the three organs will open a portal to Tristram, where you fight super versions of Meph, Diablo and Baal, all at the same time. If you can beat them, you get a torch (a special +3 to skills charm), and a useless trinket called a standard of heroes (soh).
Obviously, its hard to collect keys and get organs and kill the tristram bosses. So a lot of people will pay a lot of HR to get keys and organs.