A remote start system is basically a box that wires into your car, and lets you start the engine without actually going out to the car. If you live somewhere really cold (Like northern Canada) it's a very nice feature to have to allow your car to warm up before you go get into it. A bypass module for a remote starter is often less expensive than another key, though that depends on the manufacturer, and if they allow keys to be sold by people other than the dealerships. (If they're only available at the dealerships, they're usually more expensive.)
Since more and more cars come with immobilizer systems to keep people from hotwiring the car, and because essentially the remote start system wants to do more or less exactly that (hotwire the car, that is) they have bypass systems which allow the engine to start without the key in the ignition. Some of the older versions of these systems had a small box which holds a key with the transponder chip in it. These boxes got nicknamed "key coffins" because you had to give up one of your (usually expensive) keys and bury it somewhere difficult to locate inside the car.
Kind of beside the point, but remote start systems usually feature anti-theft features, making it impossible to move the car unless you actually put the key in the ignition, turning off if you press the brake, or clutch, or if you disengage the e-brake.