The Allen Wrench or Hex Key is one of the most common household tools. Furniture manufacturers, such as Ikea, even give them away for free to assemble the furniture they sell. The primary reason to get an allen wrench hex key set is to have multiple sizes of keys avavailable in one package that is more difficult to lose or misplace. If you wind up making that investment, you might as well purchase a high quality set.
High quality Allen Wrench hex key sets are ones that use more robust metal that would not warp, chip, or twist. A high quality set also has better size tolerences, so it will have less chance of stripping the bolt as you apply pressure to it. This is important when you keep detaching and attaching the same bolt (such as for bikes or cars).
The lower quality and cheaper sets are always made in China, so avoiding Chinise made Allen Wrenches makes a lot of sense. Several great manufacturers make Allen Wrench Hex Key Sets in Europe, Tiawan, and USA.
The Eklind Tool Company is an that specializes in Hex Keys. Everything they make is manufactured in the USA. They offer fairly good quality at the low end of the Allen Key price ranges. Although they are not very high-end, they do have a large selection of Hex Keys and we recommend that you take choose ones that you would use most often.
Gedore is an old German company, which manufactures tools in Germany. They make a huge selection of hand tools. They also use more durable and better steel, and therefore are more expensive than the low-end tool manufacturers. You can expect to pay almost double for the same set of Hex Wrenches because of they quality that they produce.