Example Migrated from Codex:

Filtering the output

Remove dashes from the string key after sanitize_key() function has done its work (dash is allowed by sanitize_key() function).

add_filter( 'sanitize_key', 'remove_dashes_from_keys' );

function remove_dashes_from_keys( $key ) {
    return preg_replace( '/-/s', '', $key );
}

Filtering the raw key

You can interact with the raw key as second parameter of that filter. The raw key is the exact value passed to the sanitize_key() function. You could use it to make your own sanitization of the original key.

Note: Direct filtering of the $raw_key is not recommended since if not filtered carefully or if sanitize_key() function ever gets updated, your filter may be returning a key with characters that is prohibited by sanitize_key() function.

add_filter( 'sanitize_key', 'do_something_with_rawkeys', 10, 2 );

function do_something_with_rawkeys( $key, $rawkey ) {
    // do domething with $rawkey
    return $rawkey;
}