Sold by the Undead Male Merchant for 1,000 Souls, this key will unlock two doors in Undead Burg. The first is above the Black Knight and will give you access to Gold Pine Resin x3. The other is in the lower area where Griggs of Vinheim is trapped.
The Undead Male Merchant will drop a number of items if killed, including this key.
Interestingly, the Master Key can be used in place of the Residence Key to open the door to the Gold Pine Resin but not the door to Griggs of Vinheim.