Keychain

The Keychains are a magical piece of equipment that modify a Keyblade.

Power
The Keychains have the ability to change a Keyblade's stats, grant it special abilities, and give it a new appearance. While most Keyblades have a basic form, like the Kingdom Key, and a Keyblade wielder can only posses one Keyblade, he or she can upgrade and change the form of the Keyblade with the Keychain.

The power of enhancement in the Keychain may be caused by the relationships formed by the wielder, as indicated when Riku reclaims Sora's Keyblade in Hollow Bastion. Regardless of the Keychain the player has equipped, the Keyblade returns to its Kingdom Key form while in Riku's possession.

The Keychains given by a person may be the physical embodiment of the memories the Wielder has from that person. This may be the reasons why Riku can't equip Sora's Keychains in The World That Never Was, yet Roxas being Sora's Nobody can wield Oathkeeper and Oblivion and Xion, being Roxas's Replica can wield his keyblades.

Origin
It is not explained so far what exactly is the Keychain and why it has the power to transform the Keyblade. A Wielder usually recives a Keychain after "completing" a World, but the Keyblade Wielder is not shown reciving the Keychain from anyone. These Keychains usually represent some important item from a world that was saved

Keychains that the wielder recive from a friend usually use a token that is somehow intimately symbolic of that person. While Mosts Keyblades aren't not specifically Keyblades of human hearts, like the explicitly named Keyblade of People's Hearts, it is likely that the connections between the Wielder heart and those he meets allow him to sometimes access their power as well.

A third possibility is Keychains crafted from the Wielder hearth, more specifically, memory. These Keychais usually represents in a metaphorical way the memory were they came from.

Exception
Sometimes, a Keyblade does not posses a Keychain. The only example of this is the Keyblade of People's Hearts, the Keyblade created by gattering seven hearts if pure light. The actual reason fo the lack of keychain is unknow, but it could be because the Keyblade is artificial or incomplete since it doesn't posses Kairi's heart.

The Keyblades Gaia Bane, Fresh Breeze and Rain Storm did not posses Keychains in the Kingdom Hearts II secret video Birth by Sleep but in the game they do. Also, the broken Keyblades from the Keyblade Graveyard do not posses Keychain either, but the reason is unknown.