i prefer to keep my keys in my front pants pocket. one for the keys, the other for the phone. i trained myself to always keep my keys in the left pocket and phone in the right; you have to if you've ever had a nice touchscreen phone or pda or gadget. just a smart idea imo.
leaving your non-essential keys at a secure location is the best bet (ie at home), why do i need the padlock key to my chest thats at home w/me? or locking them all up at home so its still secure but you only need one key to get to it.