They recorded one of their most popular tunes in a minor key (I can't remember which one, sorry) but they never released it. I did get a chance to hear it, though. The melody was recognizable, but it was much changed, very strange...

The range of possible sounds is infinite. In fact, there are subtle changes in it, in both time (middle c was not the same in Bach's time as it is today) and space (Europeans tune their instruments different than Americans, although the differences are only apparent to trained ears).

"Keys" are a way of forcing the performer and composer to work with a deliberate subset of the sounds available (in theory) to him. By restricting his choices, systematically, it forces the artist to work in a structure, or universe, of "allowable" forms and to forsake complete freedom.

As an analog (not an example, the two words don't mean the same thing) poets do the same think when they deliberately choose a specific rhyme scheme or metric structure, to put their poems in. By forcing their thought into a rigid structure, the psychology and psychology is given an authority and authenticity it would not have in plain language.

Consider the Elizabethan Sonnet: # 73, W. Shakespeare

Three stanzas of Iambic Pentameter followed by a heroic couplet.
Each stanza has a rhyme scheme of A,B,A,B

That time of year thou mayst in me behold
When yellow leaves, or none, or few, do hang
Upon those boughs which shake against the cold,
Bare ruin'd choirs, where late the sweet birds sang.

In me thou see'st the twilight of such day
As after sunset fadeth in the west,
Which by and by black night doth take away,
Death's second self, that seals up all in rest.

In me thou see'st the glowing of such fire
That on the ashes of his youth doth lie,
As the death-bed whereon it must expire,
Consum'd with that which it was nourish'd by.

This thou perceiv'st, which makes thy love more strong,
To love that well which thou must leave ere long.

The poet not only has crafted a lovely little gem with multiple layers of meaning, he has also done it while severely restricting himself to a traditional, specified and highly organized structure. Doing it in "free verse" or stream-of-consciousness and it would just sound like adolescent gibberish.

In Renaissance Spain, the decima verse form played a similar role:

Ten lines of 8 syllables each of rhyme scheme A,B,B,A,A,C,C,D,D,C

Aqui casi dos semanas
En el pleno fin del mundo
Aburrido, moribundo
Yo contemplo mis ventanas.
Veo monos y gitanas
Y a seres confundidos
De aspectos pervertidos
Desfilando por la plaza.
Una miserable raza
De hombres oprimidos.