Here's a look at how to get Skeleton Keys, and what Strikes give what loot.
It's also a required item to complete the Thorn Exotic weapon Quest. Rise of Iron aims to change that by swapping unpredictable loot for Skeleton Keys, which can be cashed in at the end of a Strike for a higher chance (but still no guarantees) of getting the item you want. Year 2 introduced the idea of Strike-specific gear that drop from Strikes, but many complained it was too unpredictable to earn specific items unless you played it over and over and hoped for the best.