Well, I have a theory on that, based off of the Oathkeeper. The keychain attached unlocks the power of the Keyblade by unlocking the power in the heart of the wielder. The Keyblade's form changes based on the heart of the Keyblade master. Each keychain symbolizes the troubles that he went through to get it. The Oathkeeper and Oblivion (the two that we see the BHK with) would be especially meaningful, because one is the good luck charm that Kairi gave Sora, while the Oblivion was obtained in Hollow Bastion, where Sora had his confrontation with Riku. The two keychains, which are among the two most powerful in the game, are thus related to the two friends that Sora holds most dear. The Ultima Weapon is a keychain created by all the Moogles in the synthesis shop, and they put so much into it that they can't make it again, which is why it is so powerful. The keychains mean something to the Keyblade master, and that meaning unleashes power in the Keyblade master's heart, and it is that power that changes the form of the Keyblade.
This is just my personal theory. Feel free to disagree.
