Hi, commercial key steel comes in various grades of steel, but as Andrew says, commonly it is EN8 but you can get alloyed steel as well. It depends on the usage and the loads that are going to be applied to it, as to the choice of the material because keys can also be made from S/S, Brass, Aluminium, plastic or anything else that may be relevant.
A lot of people regard keys to be a passive component, but they do transmit quit heavy loads, so the material used should suite what is being applied to it. In most cases EN8 should be about the toughest Model Engineers would need. Toughness is more important than hardness as that will resist deformation better. In industry I've seen keys that have been sheared in half and even the top half deformed over the bottom half making it look like a stepped key.
Regards Nick.