Some of the professional bodies and banks etc in the UK offer a service where they give you a metal tag with their postal address on the front and instructions on the reverse that to return to owner place in any post box. There is an id number engraved on the tag. It will then be sent through the post freepost to them where they check the id number against their files, retrieve your home address from their files and post the keys to your home address. I have one of these on my keyring. Contains no traceable info but will enable my keys to be sent to my home address if i lose them.

I also carry a normal work buisness card in my wallet. That way if found (or my body is <img src="/images/graemlins/frown.gif" alt="" />) then they can phone fax or write to my work where the personnel dept have next of kin contacts for me. Or if I've just lost it then then can get a message to me. Again this doesnt involve giving out my home address to anyone.