A very creepy
story intended to frighten curious young girls. There are many variations, including a really weird one by Hans Christian Andersen
where the young girl has just died and gone to heaven and it is actually Jesus who gives her the ring of keys, the smallest one leading to a forbidden chamber (which she of course opens).
The scariest retelling I've ever read is The Bloody Chamber by Angela Carter.
An entirely different view of the story is presented in Edna St. Vincent Millay's Sonnet VI:
This door you might not open, and you did;
So enter now, and see for what slight thing
You are betrayed. . . . Here is no treasure hid,
No cauldron, no clear crystal mirroring
The sought-for truth, no heads of women slain
For greed like yours, no writhings of distress,
But only what you see. . . . Look yet again --
An empty room, cobwebbed and comfortless.
Yet this alone out of my life I kept
Unto myself, lest any know me quite;
And you did so profane me when you crept
Unto the threshold of this room to-night
That I must never more behold your face.
This now is yours. I seek another place.
from Renascence and Other Poems, Edna St. Vincent Millay
So did Bluebeard really have blue hair? No, in the stories I've heard his beard was so black that it looked blue.
Also, as dem bones points out in his writeup of Fatima, this whole thing is really just a variation on the whole Eve and the forbidden fruit theme. Or Pandora. Do you ever get the feeling we're just telling the same stories over and over again?