A Security Key is a hardware authentication device used to protect access to computers, networks, and online services that supports one-time passwords, public-key cryptography, and authentication.
Typically, you insert the security key into your device (or wirelessly connect it) and press a button on the key itself. The security key will then be presented with a challenge by your web browser or app. It will cryptographically sign this challenge, verifying your identity and whatever it is you're trying to access.
You can use a physical security key to authenticate into almost any application or service, but you should use a dedicated one for the Internet Identity and authorize as many other devices as possible. Ideally, you’ll want to purchase a security key that supports Fido U2F and can communicate with both your phone and your computer.