Super Mario World/Star World 4

This level isn't too hard. It's mostly some very simple Jump'n'Run action. jump over the platforms, you can take the red Yoshi baby at the very beginning with you and feed it throughout the level. You can make it to the end with or without Yoshi. As soon as you come to the orange tube, you can either pick up the red Koopa shell and throw it at the green one the Koopa on the other side of the tube will kick in there, in order to proceed through the level, or you can take it and jump on the colored boxes right below the grey ones. Note that you will have to have the colored switches activated. Once you're down there, throw the Koopa shell at the one box sticking out of the ground, which will give you the key.

Alternative: Become the caped Mario, take a Koopa shell and slide from the right side under the green platform. Now you can throw the shell and get the key.