I think that the key and mystery lock that Oskar is constantly searching for is an interesting use of symbolism. The way I look at it, Oskar is searching not for the key but for himself and the lost connection to his father. Although it is essentially impossible for him to find these objects, it is a vital aspect of showing the search to find himself after such a tragedy.
This key also represents the unanswered questions in our lives. Oskar finds what the key unlocks, but he doesn't find out what is behind the lock, just as sometimes we never really know the full story behind some people's actions or any occurrences in our lives.
Another way to look at the key and lock is as symbolism for questions and answers. The key symbolizes the answer to "Why;" Oskar sees it as a purpose for himself. However, the lock symbolizes the question that he is actually looking for. His constant wonder about the key shows that without a question, the answer sometimes raises so many other questions that it loses its meaning.