Some people prefer to use the letter “e” as a variable for an event, though I personally like something a little more descriptive. As “event” is a registered keyword in ActionScript, I generally use evt:EventType (eg. Event, MouseEvent) and only use single-letter variables as iterators (for (var i:uint… ) etc.).
Unlike in AS2, Keyboard events are not triggered for every object. I’m not 100% on this area of knowledge yet, but I believe you do have to listen to the “stage” instance for key events.
Also, those words in caps are called constants. Unlike variables, they store one static piece of information that cannot be changed, and for this reason they have less memory overheads than variables and also some safety in that their values cannot change.
In the case of keyboard events, the constant KeyboardEvent.KEY_DOWN actually returns the value “keyDown”. So you could write:
stage.addEventListener(“keyDown”, myKeyDownHandler);
if you wanted - however, as the phrase “keyDown” may change internally, it is safer to use the constant, as if Adobe decides to use “keyDownYesReally” in Flash 10, they can by changing the value of the constant internally - and if you’re using constants, your code’s integrity is protected 
In general in Flash:
A variable starts with a lowercase letter and is written in camelCase where each subsequent word in the variable’s name is capitalised.
A class starts with an uppercase letter and is written UpperCamelCase, same as a variable, but with the first letter capitalised.
A constant is written in uppercase letters only, using an underscore to separate words, for example MY_CONSTANT.
These are internal conventions, and are useful to follow to keep your code readable. Other languages, such as Objective C, Visual Basic, PHP etc. may use different formatting styles.