The Ghost's Key is a key that Henry Townshend picks up in Silent Hill 4: The Room. Henry takes it from the grasps of a ghost that is pinned down by a Sword of Obedience within somebody's home in the Building World. The ghost is revealed to be Eric Walsh, owner of the flat and Walter Sullivan's 10th victim.
Henry doesn't hold onto the key for long, as it must be used in order to exit Eric Walsh's house. This suggests the key is mostly just a lure to an introduction of the Sword of Obedience, as Henry must examine the pinned ghost to continue in the game anyway.