I just got the quest to retrieve gauldur's amulet fragment and i arrived at Saarthal and it says a key is required and i cant find it nearby.....can someone help me along?

You need to join the college of Winterhold (new mages guild) in order to be able to enter Saarthal

That really bugged me. On my first playthrough my character was a Nord warrior and gathered two of the three amulet pieces.

So I figured, that's great just one more to go I'm going to finish the quest. So my character gets to Saarthal and it says a key is needed. Not wanting spoilers on my first play thru I look everywhere to find a key or a hit of the key. Eventually I peeked in the guide (or wiki) and found out that I needed to join the College of Winterhold to get access. That was a big disappointment, because my Nord does not want to have anything to do with that College and does not want to be a Mage.

So not only is that quest not finishable. But I wasted a lot of time looking for a way to get in to Saarthal. The least the could have done was put a note somewhere nearby saying something like "Access to this excavation site is restricted to College of Winterhold personnel".

And there are other quests like that.