They let you keep them. The only product I've used more than 3 activation keys is Windows 7 Home Premium (4 of them) and the site tells me that I've activated 4 of 3 available keys.
I also have a MSDN subscription (the cheapest one) which still has 10 keys for each SKU of each version of Windows so I still have TONS of Windows activation keys available. The problem is Office. The cheap MSDN sub doesn't include Office activations so I only have them from my Technet sub.
For Office 2010, they only give us Professional Plus and Standard which means you have six activation keys total. Well six times 15 because that purportedly how many times you can activate each key. With Office 2007, they gave you more SKUs. You got Enterprise, Ultimate, Professional Plus, Professional and Standard.
I use a lot of activations because I use a lot of VMs. If you move one virtual machine from one host machine to another, it requires another activation (for Windows and Office). It's only happened once where I've used an activation key so many times that I have to give another key and that was a Windows XP VM.