During the Coast Cliffside stage in Gloomwoode you'll come across several keys. This page of the guide explains where you'll find them and where can you use them.
Coast Desolated House Key
The key can be obtained shortly after leaving the caves and reaching the cliffside path. You'll come across the house pictured above.
The area around it is patrolled by two guards. One of them is holding the key - you can sneak up on him and steal it or kill him and loot the body.
With this key, you can open the door to the house's upper floor. You'll find a guard there, along with some loot.
Slaughtered Goat Cellar Key
This key is mandatory to progress. Midway through the stage you'll reach the Slaughtered Goat tavern - a winding road will take you there.
The key is on the table to the left, found in the same place as the shotgun.
You can use it right away to unlock the cellar door to the right.
Cliff Wall Padlock Key
This key is not mandatory, but obtaining it should make your journey easier. On your way to the lighthouse you'll be stopped by a locked gate. You can open it with the key or jump down to a lower ledge and bypass it.
The key is located in the ruined building next to the locked gate. Climb up there, bypass or kill the guard and find the table inside the ruins. That's where the key is.