Everyone gets their own mailbox with a separate key, they're just all together in one place. They look like this:

http://1.bp.blogspot.com/_AMDCvMaCBE4/TPNLlfBWovI/AAAAAAAAAf...

Of note for non-Canadians - those big compartments at the bottom are "shared".

If you get a package that can fit in one that doesn't require a signature, the mail carrier will drop the package in there and put its key in your mail compartment. After you pick up your package, you drop the key off in the outbound mail slot at the top of the box. It's very convenient.

They do the same thing in the US at apartment buildings, subdivisions, even some streets with single family houses.

Not just a Canadian thing. I grew up with one of these in a typical sprawling Texas suburban development built in the 1980s. Now my parents live in much older suburb and have home delivery.

What happens if you don't return that key ? Can you easily make a replica to get the package of the next deliveries ?

The former.