Some who bought CD keys for Modern Warfare 2 — no physical media in other words — from import resellers have seen their access to the game vanish, as Activision has apparently asked Valve to ban such keys.
A poster in Valve's official forums complained that a key he bought through G2Play.net no longer lets him open and play the game. A Valve representative, BurtonJ, called such sales "illegitimate" and confirmed the ban. He recommends buying a full version of the game — maybe through Steam? Hint hint.
VE3D, which spotted the thread, points out that calling the key sales "illegitimate" is not entirely true. The keys are typically sold legally in Asia and other territories and while game makers try to ban it, their ability to do so is not absolute. Of course, the interest is clear: The keys being sold cost less than the full game, and both publisher and digital distributor want to protect their bottom lines.
Valve's only advice to grey-market key buyers is ask for a refund and get a "legitimate" copy of the game.