Microsoft's Key-only sales are mostly reservered for things like subscription services (MSDN, TechNet, etc.), for volume licenses (upgrade only), and for special programs like the recent online student offers. Mainstream Windows 7 sales are through Full Retail, Upgrade Retail, and OEM sealed packages that include a disk, a Key, and licensing material.
You can download Retail Win7 directly from Microsoft, but you won't save any money. Most places, including Microsoft itself right now, give free shipping with Win7 packages.