I don't really collect room keys myself but I do try to pick them up when I travel to trade with those who do save them.

On my last trip I ran across a hotel cleark who mentioned they had a bunch of room keys from OTHER hotels in a drawer at the check-in desk. He said they usually keep them for a short while and then throw them out but asked if I'd want what he had. Might be worth asking or checking when you're asking for key cards at hotels