I would certainly get your keys as well as handing over a letter stating that they are in breach of contract because of.............(what happened) and that their services are withdrawn as of ( the date of the letter). Inform them that a copy of the letter will be sent to the RICS. (Make sure the estate agent is a member,Should be on your contract. ).
The RICS (Royal Institute for Chartered Surveyors) regulate estate agents and there is a National association of Estate Agents, but they only really deal with codes of practise. Maybe RICS should be your first port of call. This may help,
http://www.rics.org/