Finding steam friends who unfriended you

Check Inventory history.

Stalk harder. That is how you fix this. Keep records.

Found them by looking in my activity feed. How shall I go about getting my key?

The only thing You could do now is browse through yur browser history. Chrome does it pretty well with searching by a keyword. You would type "steamcommunity" or something similar and You could then browse through every site You accessed at least once. You should finally find his Steam profile URL as You'd probably recall him just after finding THAT nickname.
I don't know about other browsers but they should have searching feature implemented as well. I am not sure but I think You could also be able to search Steam browser history by accessing your main internet explorer.

Worst friend ever

if you meant key to open cases and you used trading feature check your trade history, if you are talking about game key I wonder if you still have his/her chat otherwise you lose it for good , in case you don't know you can also check his name if he changed it if you found it.

Obviously/more likely you have been scammed,
Getting it back almost impossible, the only thing you can do is find him and report him and black list him on various steam trade supporting site, like steamgift or steamrep, well it doesn't seem you have enough proof to have that account banned but still you have warned the others anyway.

Good luck