I've not flown this specific route but assume as it's via Atlanta that the flights will be with Delta.
I've flown TATL with all the major US carriers and Delta are my least favorite purely based on my last experience when the flight was oversold and it was touch and go as to whether we would get on it or not.
However every US airline has it's good/bad days and you should be ok.
Check in early for ATL to EYW flight. They limit the number passengers due to weight restrictions and do bump frequently because the airline overbooks .
"Not being a seasoned traveler Tom C97 the bit about the flight being oversold is that common?"
Every airline will oversell on flights as they know that some people will cancel/rearrange flights so it limits the possibility of flying with empty seats.
The only time I've had a problem was several years ago when I was flying from Manchester to Fort Myers via Atlanta - on checking in at Manchester we couldn't get the boarding passes for the Atl to Fort Myers leg and were told to check at the gate in Atl.
The flight was obviously oversold and after several calls for volunteers to take another flight we eventually got on but it was stressful at the time - it was one of our first TATL flights and I'd be more relaxed about it now.
I'd still fly Delta if the route/price etc was right but they personally wouldn't be my first choice - it happens with every airline and not a lot you can do to prevent it.
Be advised that Delta limits you to one checked bag flying in to our out of Key West.
Flights from Key West can be on Delta or Delta Connection. The Delta flights are on a newer 737, with economy Comfort seats, the DL Connection are on smaller regional jets (5XXX flight numbers). But both are decent rides to Atlanta.
As for overbooking, all airlines do it and they all have their formulas that they use for determining how many seats they can overbook. Due to my homebases, I find myself on Delta frequently (to the tune of some 100K miles this past year). Over the years I have encountered a few overbooked situations, most of the time they offer some form of compensation and folks volunteer to change flights. In the event they can't get volunteers, they tend to start at the bottom of the totem pole (cheapest most recently purchased ticket). As you would be connecting to a once a day international flight you would have higher priority and less likely to be bumped.
The flights to/from Key West on 737's are very weight limited. If you look at the seat maps, the last few rows are usually blocked out. They intentionally fly the plane less full to land and take off at the EYW airport's short runway. While all airlines bump, it's been my experience that it is more of a problem with EYW and Delta since they switched from CRJs to mainline jets. So, going home, check in on line right at the 24 hour mark prior to departure.
How about flying to Miami and then driving to and from KW? Its a very scenic drive.
You may have a problem with luggage if you fly over from the UK with the international baggage allowance and then fly out from Key West.
As joeintheuk says, have you thought about flying in and out of Miami and drving down to Key West and back? It is a lovely drive.
The runway at Key West is rather short.Delta and American book their flights months in advance using predicted average temperatures,and as pointed out by WaupacaTravel often need to leave seats empty for landing and takeoff weight restrictions.The problems occur when the weather is hotter than average,and can lead to some people being bumped short term.It is also not predictable days or weeks in advance.
If you leave a little slack in your travel plans,you should be fine.There are worse places to be stuck for a few hours.