I've been to many smaller airports and they all have a drop box for your keys. They also mail me the receipt, but like Bama said, you can get it online or from email.

A note though... if anyone rents from an off-airport location, be sure they have a drop box if you're leaving it when the site is not open. I've used 4 or 5 local sites that do not have drop boxes and make you return the car only when they're open. Come to think of it, most of these locations that I've encountered are in Sears' parking lots.