Each have their own wikipedia page but is there any real difference between these four types of frame?

I'm using Compressor 4 to burn a DVD and under encoding settings it gives me the option to set Key frame every so many seconds. Is this an I-frame?

I thought an I-frame stands for intra-frame, then what is an inter frame, and why call it a key frame?

I-frame:
Video compression picture types - Wikipedia, the free encyclopedia (http://en.wikipedia.org/wiki/I-frame)

Intra-frame:
Intra-frame - Wikipedia, the free encyclopedia (http://en.wikipedia.org/wiki/Intra_frame)

Inter frame:
Inter frame - Wikipedia, the free encyclopedia (http://en.wikipedia.org/wiki/Inter_frame)

Key frame:
Key frame - Wikipedia, the free encyclopedia (http://en.wikipedia.org/wiki/Key_frame)

An I frame in an MPEG-2 stream is the only type of frame that contains ALL the picture data. P and B frames contain information about what is changed from previous and upcoming I frames.

The more I frames, the closer they are together timewise... and the data rate will likely climb...

USUALLY this increases image quality BUT if too many I frames are used at a given data rate, you don't give the codec enough residual data rate to "do it's job" properly and the I frames will look great but the non-I frames will look LOUSY, causing a visual degrading of the image not entirely unlike strobing, except in image quality, not luminance.

Clear as tar?

you can call them the way you want, but each application is referring to its language. So if some call it keyframe and give the meaning, it could be called Intra frame elsewhere and the same definition will be also given.
In most video editing apps, a keyframe is just a pointer indicating an effect modification.
If you are in mpeg encoding, you will use another vocabulary I , P, B frames.
just use the right word at the right place.