Spoiler:

World 1: the middle level at the bottom. Right after a group of platforms that goes to a 1-Up, between the two hills to the right of these platforms is a hidden block that leads to the key.

World 2: The final level before the fortress when you take the high path at the 2nd split (to the right of a Mushroom house). At a point with a group of 3 wooden blocks (2 blocks wide each) with a fire boo flying around. On the middle platform, on the left block, jump straight up and hidden block will appear that leads to the key.

World 3: In the 4th level. Just after the chain chomp, there's a wall that ends just before it reaches the bottom of the screen. There's enough area there to swim under that wall that will lead to a pipe, which leads to the key.

World 4: In the level that's a remake of SMB1's 1-1. At the first cloud you see, on the right of that cloud is a hidden block. Using that block will take you to the same level with new enemies. At the end of this level is the key.

World 5: In the fortress level, collect all the coins. The last batch of coins is an arrow pointing left. Go back to the beginning of the stage and you'll see the door. Becareful since the platform under the door will fall if you're not fast enough.

World 6: In one of the levels before the Fortress (can't remember which) that contains rotating platforms. At the point with a large group of note blocks and a ? block. You must be small. If you are, jump on the ? block and go right. You should go through the wall. Follow the path to the pipe which leads to the key.

World 7: Use a whistle. It will take you to the level with the key in it.