hmmm... what settings are you trying to key, and how are you going about keying them?

i just created a sphere and animated the material's transparency from 1-24 frames, and it fades in from nothing to solid just fine.

in the material's attribute editor i keyed transparency (after choosing full black) by right clicking on the word transparency and chose 'set key', then scrolled over to frame 24 and did the same (but with full white), set the render globals, and after loading it into imageready to take a look, the only thing that stayed the same throughout the animation was the specular (which i just didn't animate along with the transparency), so it worked ok here...

check it out: