They should only be used to activate copies of Windows within the terms of the MAK license agreement.
Where these keys originate from isn't all equally suspect, but the problem with buying from third-party websites or eBay sellers is you often won't know where it came from until it's too late to do anything about it. There are many places from which the cheap Windows keys you see for sale could have been obtained. But that doesn't completely absolve the buyer from blame. This side of the transaction is commonly the focus for software companies and law enforcement, rather than someone buying a single software key. Selling pirated or stolen software, particularly in bulk, is also very illegal.