Several Vanilla dungeons need a key or a quest before you can open the door or reach the back wings. Most of them only need one person in the group to have the key, so you do not all have to do every chain.
Blackrock Depths
- Shadowforge Key: opens locked side areas inside BRD, including the shortcut gate. You get it from a quest chain in the instance. Useful but not required to run the place, since the main path is open.
Upper Blackrock Spire (UBRS)
- Seal of Ascension: required to enter UBRS. One person in the group needs it to open the door. The chain runs through Lower Blackrock Spire and BRD to assemble the seal, so it takes a trip or two. One attuned player can open it for everyone.
Scholomance
- Skeleton Key: opens Scholomance. There is a quest chain to make it, and once one player has the key the door stays open for the group. Worth one person doing early.
Stratholme
- Key to the City: opens the service-entrance side gate, which lets you choose between the two halves of the instance without the long way around. The undead and the living sides are effectively two different runs, so the key saves real time.
Dire Maul
- Crescent Key: opens the locked wings of Dire Maul (North and West). It is made or found in the instance, and again one keyholder opens the way for the group.
Maraudon
- Scepter of Celebras: not a door key, but a quest reward that gives you a teleport shortcut straight to the back of Maraudon. Saves the long run through the orange and purple wings on repeat trips.
The short version
For a fresh character, the two worth chasing early are the Seal of Ascension (UBRS, needed to enter) and a Scholomance key, because those gate content you will want to run for gear. The rest are convenience. Step lists for a single chain can come separately.