This happens to me very often. Always, to be honest. Because I'm tall I kick the steering wheel with my knee while getting off the car. And then the steering wheel locks, almost unnoticeable.
It's only the steering that moves a little bit, not the tires. Therefore there's pressure applied from the steering column to its lock. So you can't easily turn the key. (oh boy, I hope you understand what I mean... )

X-Fire04: Like REDSC400 wrote, try to turn the key while moving the steering wheel slightly to both sides to release the mechanical pressure and to unlock it.