Strange. I've used a whole load of golden keys, and am still rocking 80 of them left so you must be using some iffy sites!
Most of those with 'unknown' in the expiry seemed to work for me when I used them not long ago.
What I find makes it enjoyable is to open it once or twice and get something fun, a new weapon or shield or grenade mod but don't go overboard with the keys. The items will last for a good few levels if they're good or suit your playstyle, and gives you a chance to pick up some other things.
Also, try experimenting with weapons more than with BL1. I've had some surprises, with some things that look like they'll be rubbish, actually being really effective. For example, I've a pistol at the moment which is about 5 levels below my character, and hits for something like 138 corrosive damage, which is way below what my other guns are hitting per hit. Thing is, it has a ridiculous rate of fire and is extremely accurate, so it's amazing for chewing through loaders and buzzards, and still pretty good if you just need to empty a mag into someone's face unexpectedly.