So i've beat the first two dungeons and in both so far i've left with a room or two still locked. I went back through both and havent found a key. Am i just missing something or will i have to come back to those rooms later on? 

I was wondering the same thing.  I just finished the first dungeon and couldn't open on of the locked doors.

I had the same thing happen to me so I am guessing it is part of the game itself and we will get to go back to those dungeons later.

you can buy colored keys for 1000 G from some guy. Also, there is an item called the awesome key you get for finding all of the  Sir Sign signs that will let you open all of the doors