The previous post listed some identification keys that run online, as more-or-less interactive websites. This post includes some sites that have keys you can download (usually as pdf documents) and print out. See also my bookmarks on delicious.
Some excellent materials, many produced by Brian Eversham, are available on the website for The Wildlife Trust for Bedfordshire, Cambridgeshire, Northamptonshire and Peterborough [link updated at October 2012]. These include keys to insect orders, grasshoppers and bush-crickets, water bugs, ants, beetle families, longhorn beetles and soldier beetles (plus other non-insect groups). NB that most of these are tailored to the Bedfordshire area, and do not necessarily include all UK species (the exception being the soldier-beetle one by Dr Mike Fitton, which does have all species).
Various resources, including an identification guide to grass moths (Pyralidae: Crambinae) compiled by Nick Asher, can be downloaded from the Berkshire Moth Group.
Some keys to selected groups of bees and ants are available from BWARS.
Dipterists Forum has produced some really good downloadable keyes, some of which are available only to DF members; these include a very well-illustrated key to Diptera families, a key to Scathophagidae (dung-flies and allies), both of these by Stuart Ball, and a version of Alan Stubbs key to hoverfly tribes illustrated with photos by Stuart Ball - Dipterists Forum is worth joining just for these, let alone all the other benefits!
Available to anyone is the set of draft keys to craneflies, by Alan Stubbs, and keys to stilt and stalk flies, by Darwyn Sumner.
The recently established Beetle News has included keys to various small groups of beetles in its first few editions, and they can be downloaded from the Amateur Entomologists' Society.
Field Studies Council
This listing from the FSC includes many of their published keys, available to purchase, but also some older papers that are free to download, including Unwin's key to Diptera families, and the now slightly out-of-date key to slugs by Cameron, Eversham and Jackson.