I think of the second half in the fiddle tunes Greg mentioned as being essentially a new tune, and you quite expect a key change there. Or to put it a different way, you can get to think of two tunes you are used to playing in a set as being two parts of the same tune, and the same applies there.

What I meant were the songs where there's a key change part way through, so the same tune is played in a new key for dramatic effect, and that isn't traditional. (No quarrel with it - I've got one song where I keep going up a semi-tone every verse and chorus; but I wouldn't want anyone who didn't know it trying to busk it with me.)

That question John of Hull asked "What is a key" is not that easy to answer in simple terms. I was asked that the other day by someone who plays the guitar reasonably enough, and I was floundering.

In order to understand the answer you really a need a bit of theory, and if you know that theory you know what a key is anyway. But most people get to play and use keys and change keys without understanding that stuff. It's like explaining the parts of speech to someone who speaks the language - not that easy to explain and not that easy to understand the explanation.