While it's admittedly the best way to be crystal clear about which specific vehicle you want to rent, I'd be wary of grabbing keys from cars already in parked in stalls. Consider the following scenario:
--I see Car A in Stall X, it's in my reserved class and the model I want so I take the keys.
--Customer B is at the counter having his rental completed while I am out looking at cars and Rental Agent C assigns Car A to Customer B out of the computer's inventory.
--I head into the counter and give Rental Agent D the keys to Car A and he prepares my contract.
--Customer B comes storming back into the office, loudly upset that Car A has no keys and he needs to be at a meeting 10 minutes ago.
--Now, I can either claim that Car A is mine because I have the keys and a contract for it (as does Customer B) or give the keys to Customer B, but either way I look like a jerk.

If an agent can't find the car you want in the computer using the stall number, you can always ask to have someone physically go out to the vehicle and get its information. You may find out it has already been rented to someone, but you may find out that it had just been parked and hadn't made its way to the inventory yet and it's your lucky day