Here in Iowa, Ace Hardware has the ability to create replacement chipped keys if you have a fully working key.

I had them create one for my son's 2006 Ford Focus, and he's had no problem with it. It was still pricey ($60), but still way below what the dealership wanted to make one.

If your car is REAL new (For example, I have a 2010 Ford Escape) that has programmable "My Keys", I don't think they can do those yet so your stuck.

I got an extra spare key for my Escape when I bought it as they couldn't seem to come up with the second key. When they found it, they called me and told me to come get it as they couldn't use it for anything else. Those keys are $400 each!