Some years ago, some hotels went out of their way to print pretty images on the key cards - it was advertizing for them, and they believed people kept them as souvenirs - the thought being the pretty property image, along with the corporate logo, were pretty cheap advertizing for the hotel. I asked if I could keep a key card (yes, I am too honest for my own good!) with a really lovely image on at one property, and was told 'Madam, we EXPECT you to keep the key'. He told me that some people punch holes in them and keep them on their key ring, others keep them in the wallet as a reminder of a nice holiday (no direct mention of the brand then being there every time you open your door / pay for something of course!)

I think they need to change the mindset, we are so used to not entirely bothering giving them back (I don't set out to take them, but I have a few, normally when we have been given more than one for the room, and the other person checked out, forgetting to get the other key card) and to echo someone else's point above, I am not sure I want to stand in line to give them back!