Let's go over the points some people are not getting:
1. (self-hosted) WordPress does not come with an API key. You'll not find one displayed anywhere in your (self-hosted) WordPress admin until you actually acquire and add it yourself.
2. To get a WordPress.COM API key, let's say to activate a certain plugin (*cough*Akismet*cough*), you must get that key at:
http://wordpress.com/
3. You do not need to set up a blog on WordPress.COM to get a WordPress.COM API key; just a login/account will do.
4. Once you have a login on WordPress.COM (not WordPress.ORG, not your self-hosted WordPress installation), you'll find the WordPress.COM API key under your Profile there. It's also sent to you by email when your account is first set up.
5. WordPress.ORG does not equal WordPress.COM.