Direct flights to Key West can be found from most of the airports in south florida. TPA/MCO/FLL/RSW/MIA. For example, the cheapest I see, for the middle of February, is Airtran from MCO and Cape Air from RSW. Maybe you can check different connections or use multiple airlines and find a cheaper rate.

Another option, though probably not much cheaper/shorter, fly into RSW, take shuttle/taxi to Fort Myers Beach, and then go by boat. It would certainly be an adventure. Here is the site:

http://www.seakeywest.com/

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