DragonODeath is making UserInputService too complicated. Here is how it works. If you want to see if a key is pressed use KeyCode.

Keys

local uis = game:GetService("UserInputService")

uis.InputBegan:connect(function(key, processed)
    if key.KeyCode == Enum.KeyCode.Space and not processed then
        print("Pressed space")
    end
end)

Processed is like chatting or typing into a textbox.

To find any key pressed use

local uis = game:GetService("UserInputService")

uis.InputBegan:connect(function(key, processed)
    if not processed then
        print("Pressed key")
    end
end)

Mouse Clicking etc.

You can use UserInputService to see if someone clicked using UserInputType.

local uis = game:GetService("UserInputService")

uis.InputBegan:connect(function(input)
    if input.UserInputType == Enum.UserInputType.MouseButton1 then
        print("Left clicked")
    end
end)

You can find the rest of the enums here.

Final Product

There is no "Hold" event with UserInputService so we would have to make a variable true and loop until the variable is false, we set it to false using InputEnded!

local uis = game:GetService("UserInputService")
local activated = false

uis.InputBegan:connect(function(key, processed)
    if key.KeyCode == Enum.KeyCode.A and not processed then --pressed A
        activated = true
        repeat
            print("Pressed A!")
        until not activated
    end
end)

uis.InputEnded:connect(function(key, processed)
    if key.KeyCode == Enum.KeyCode.A and not processed then
        activated = false
    end
end)

Hope it helps!

KeyDown was recently deprecated. Due to this, you must use UserInputService. If you want to tell when somebody is holding a key, you would use InputBegan and run your code until InputEnded is triggered by them letting go of the key. If you are looking for a specific key, you could use KeyCodes to determine what key is being held in.

Following FearMeIAmLag's answer, using InputBegan and InputEnded, you can safely assume that a key is held down after InputBegan and that it's released after InputEnded . Furthermore, it is possible to know what key is being pressed via the KeyCode property of the InputObject. So, to exemplify, look at the following code:

local userInputService = game:GetService('UserInputService')
local F_keydown = false

local function OnKeyDown(key)
    if key == Enum.KeyCode.F then
        F_keydown = true
        while F_keydown do
            wait(1)
            print'The F key is being pressed !'
        end
    end
end

local function OnKeyUp(key)
    if key == Enum.KeyCode.F then
        F_keydown = false
    end
end

userInputService.InputBegan:connect(
    function(InputObj)
        OnKeyDown(InputObj.KeyCode)
    end
)
userInputService.InputEnded:connect(
    function(InputObj)
        OnKeyUp(InputObj.KeyCode)
    end
)