This is a very grey - and to my mind very dodgy - area. The keys you can buy cheap are often not being sold as e.g. first sale OEM keys but have been taken from existing systems. Depending on the type of key that may initially work and you'll be fine or not work at all, or may work initially then stop working after so many activations or if/when MS recognise an abnormal pattern of activations.
I subscribe the MS Action Pack Subcription (MAPS) and every so often I'll have activated one the keys too many times and it will suddenly not activate. Often it states why but sometimes it's a more generic error and it takes a call to MS to reactivate the activations (they've never batted an eyelid when I explain it's being used for demos/labs hence the quantity of rebuilds, but I would imagine someone having a much harder time if the key wasn't legit to begin with).
For peace of mind, follow Ubuysa's advice and buy a new one direct or from a PC World etc.