Some features of hex keys are:

The tool is simple, small and light.

The contact surfaces of the screw or bolt are protected from external damage.

There are six contact surfaces between bolt and driver.

The tool can be used with a headless screw.

The screw can be inserted into its hole using the key.

Torque is constrained by the length and thickness of the key.

Very small bolt heads can be accommodated.

The tool can be manufactured very cheaply, so one is often included with products requiring end-user assembly. Either end of the tool can be used to take advantage of reach or torque.