My Gazelle, as a Dutch commuting bike, is set up like a car - to "drive" it you have to have the key in the ignition. There's a built-in lock that goes around the rear wheel, and has a cable lock with it. This is nice 'cause parked in the garage, the key is in it and I just don't have to think "Do I need a lock where I'm going?" On the other hand, I have walked off and left it 'locked' - but with the key still in it... but, of course, this isn't Holland so unless you knew to look...
The other downside is that I can't exactly ride around with all my keys dangling off the side of the bike, so that key is separate from my keys. If I don't remember to put it on the hook on my keychain, then I can put it down.... anywhere... so I have the spare key tucked in the seat bag.