The magician gathers keys from several members of the audience. These keys are placed in a spectator's hand and covered by the spectator's other hand. The magician commands the keys to get warm, which they do. Then the spectator opens his hands and it is revealed that one or more of the keys has magically bent.
At the beginning of the effect, the magician asks the audience for, "any keys you have with you that you no longer need." This phrase is, in fact, the "key" to the whole effect. Think about it for a moment -- how many people carry around keys that they don't need any more? Not many. In fact, pretty much the only reason that someone would have an unneeded key with them is that the key is broken or bent and therefore useless, but they haven't had a chance to throw it away since it was damaged. Therefore, when the magician collects audience keys, there are going to be at least one or two that are already deformed.
The magician pretends like these are all nice, new keys but doesn't let anyone get a close look at them. A spectator is called forward and the keys hidden in the spectator's hands. With a subtle move, the magician triggers a hairdryer (set on "high") hidden in one jacket pocket and maneuvers so that the super hot air is directed at the spectator's hands. The spectator will interpret this as their hands warming at the magician's command.
When the time is right, the magician switches off the hairdryer and asks the spectator to open his hands. The magician points out the bent and broken keys and gushes on about how they were just fine a minute ago.
Note: If there are any car keys amongst the unbent keys donated at the start of the trick, the magician might want to make haste after the show to try and get to the parking lot first -- just in case.