Eastern Shaft Key
It's important not to leave the level Khufu's Queen's Pyramids before the Eastern Shaft Key is found, since after proceeding into the level Inside the Great Pyramid, it's not possible to re-visit the level. Having all four shaft keys opens the exit in Inside the Great Pyramid. Not having the key won't be a problem if one uses the level skip cheat, but doing so may cause some problems (see The Last Revelation Cheats for further details).
Missing the Eastern Shaft Key isn't easy, since prying it off the wall with the crowbar opens the exit from the maze area, where the key is located.