Speed is a component of evasion and initiative, and helps your attack rate and recovery time.
BF keys are found in the main game only. The random keys in the BF dungeons do not open anything, so you can ignore them.
You can do the dungeons in any order, though if you clear the higher level ones first, you will probably not be getting experience points for killing creatures by the time you reach the lower level dungeons.
The act 2, level 2 BF key can be found in the imp village (not too far from where the necromancer will drop you off when you are done his first task, actually).
