Key Selected Objects adds much-needed multiple-object keyframing options to Blender’s context-menu. If the target property is multi-dimensional (i.e. a property with X, Y, & Z values), you’ll get the options to create & delete keyframes on a single dimension for all selected objects. If it’s a single dimensional property (e.g. a Light Object’s “Power”), you’ll just see “Keyframe All Selected Objects” and “Delete Keyframes for All Selected Objects”.
If you have just one object selected or your property is not animatable, you won’t see the Key Selected Object options.