Landlord locked out tenants

What has happened to lead to this?

Assuming you have a valid contract, and that you aren't in breach of your contract, get a locksmith, and break into your own home, replace the locks and inform the landlord.

Are we talking about a house or an apartment building? If an apartment building, it is possible that there has been an attempted break-in, or the lock has been otherwise damaged or has broken, and it has been necessary to urgently change it. This happened to me once. What should you do - well, calling the landlord would be an obvious idea? If no reply, and it is an apartment building, and there are door bells downstairs, ring all of them until you get a reply. Maybe the landlord has not been able to reach you and has left your new key with a neighbour.

If it's a house it's a different matter - even if there has been a break-in or the lock has broken, how would the landlord know? Also, in this case it would be a much higher threshold for him to start fixing the issue himself.

In both cases, if we on the other hand are talking about a situation where the landlord has knowingly changed the lock because of some sort of dispute, that is blatantly illegal. Even if it is a question of expulsion due to severe breach of rental contract, this is not the legal way to handle the situation.

You haven't provided any background for people to actually be informed enough to help.
If you have a good relationship with your landlord - then presumably it's due to a break-in, or broken lock. Call the landlord and ask what's up.
If you have a bad > very bad relationship or are in dispute, assume it's malicious and do what Anon said...

As others have said, without more info it's hard to offer good advice.
The obvious thing is to contact your landlord. If you get no reasonable explanation then ask a notaris for advice. I doubt that you are going to find a locksmith who will be willing to break into the place even though you would be within your rights to do so.

Assuming that the landlord has NOT been through any eviction process, and you have NOT ignored any official letters that may related to eviction:

Phone the police - they will need to witness you breaking in
Phone your insurance broker - they may need to advice on not causing unnecessary damage
Phone a lawyer and get the landlord dealt with through the courts.

“Should I write to express my displeasure, or just leave it now I finally have a key?”

What will a letter achieve? With respect, the only one that can answer this one is you. The rest of us already tried to help answer one vague question.

Never, ever leave keys in a letter box. Letter boxes can be easily opened by others, keys copied, returned and you're none the wiser.