Where Steam keys come from
Steam keys are generated by the publisher, not by the stores that sell them. Valve issues them to developers to sell wherever they like, and takes no cut of a sale made outside Steam. That is the mechanism behind every third-party Steam listing, and it is why a key bought elsewhere adds a game to your library that behaves exactly like one bought from Steam directly.
It also explains the price spread. A publisher choosing to move volume through a partner sets that partner's price, and a key that has passed through several hands since carries whatever the last seller decided. The key itself is identical; what differs is the story behind it.
Key, gift, or something else
A Steam key is a code you enter in the client under Games, Activate a Product on Steam. It is the cleanest thing to buy: it lands in your library and belongs to your account.
A Steam gift is a copy sent from another account. It arrives as an offer you accept, and it stays connected to the purchase that created it — if that purchase is reversed, the gift can be removed from your library afterwards.
An account is not a purchase at all. Listings selling a Steam account holding a game are selling credentials that can be recovered by the original owner, and using them is against Valve's subscriber agreement. The game is not yours in any sense that survives the seller changing their mind.
Activation limits and what triggers them
Steam limits how many activation attempts an account can make in a period, and failed attempts count. Trying a key repeatedly because it did not work the first time is the fastest way to lock yourself out of activating anything for a while.
Read the message instead. Steam distinguishes between a key that is invalid, one already used, one restricted to a region, and one requiring a product you do not own — and each of those points at a different conversation with the seller.
Some keys also require the base game before they will activate, because they are DLC. That error names the missing product, which is a useful signal that the listing was not what you thought.
Region restrictions on Steam specifically
Steam enforces two distinct things. A key can be restricted to accounts in certain countries, which stops activation outright. Separately, a game can be playable only in certain territories, which is rarer and shows on the store page.
The country Steam checks is the one on your account, which is tied to your store region and payment history rather than to where you happen to be. Changing it is not a per-purchase toggle, and Steam constrains how and how often it moves.
Where a key is region-locked and you activate it anyway through a VPN, the exposure is the account rather than the key. Weigh that against the saving with the value of your whole library in mind, not the price of one game.
Steam Families, and what a key does not buy you
Steam Families lets a group of up to five accounts share their libraries with each other. Members can play different shared titles at the same time; what is limited is the individual game, which can be played by as many members at once as the family collectively owns copies of. Where two people own the same game, two people can play it.
Not everything travels. Publishers can exclude titles from sharing, and games requiring their own third-party account or an active subscription generally will not work through it. There is no published list of exclusions, so a title that matters to a household is worth checking before assuming one copy covers everyone.
This bears on the cheap listings that offer "access" rather than a key. Sharing is a feature Valve provides between accounts people actually control; a listing selling entry to somebody else's library is not using that feature, and it does not become legitimate by resembling it.
Refunds, and what buying elsewhere costs you
Valve's own refund policy is unusually generous by the standards of digital goods, and it applies to purchases made on Steam. A key bought from a third party is not a Steam purchase, so that policy does not cover it — your refund rights are whatever the store you actually bought from offers.
That is the real trade in third-party Steam keys, and it is worth stating plainly: you are exchanging a well-understood refund route for a lower price. On a game you are confident about, that is a good trade. On something you might bounce off in an hour, the Steam price sometimes buys more than the game.