I’m looking for a way to set Heading 1 & Heading 2 while writing a doc and without resorting to my mouse.
Or is there a key command to open the Styles dropdown?
⇧ ⌘ Y brings up the styles popup menu (on MacOS). And you can assign your own keyboard shortcuts. I use ⌥ ⌘ 1 and ⌥ ⌘ 2 for that same purpose.
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Headings are best defined in Compile, not while you are writing the text.
This is not Word…
If you haven’t already, do the built-in interactive tutorial. It will walk you through the basics.
So, what’s your theory for the existence of such headings in Scrivener? 
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Styles are meant for text that is supposed to have different layout than teh surrounding text, like block quotes.
Headings are more easily handled by using the titles in the Binder and formatting them during Compile. That’s how Scrivener is meant to handle headings.
That’s one way of doing it. I use the H1 and H2 styles all the time – compiling to Markdown produces nice # and ## headings. Not more difficult at all. (EDIT: Works out of the box. Clearly Scrivener is meant to handle different workflows.)
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Absolutely, but that requires some post-processing, right? Using Binder titles males it easy to let Scrivener do it. It wasn’t clear from the question that the OP is using markdown.
I don’t know. He wants to do it and I guess I know why he wants to do it. Because I do it, too. 
I treat those headings as structural elements (like block quotes). Using the preinstalled compile formats (MMD or HTML for instance) produces # / ## or h1 / h2 headings. The only kind of post-processing required after that is adding a stylesheet. I rarely name the binder documents btw. So there wouldn’t be much to process for the compiler to begin with. Works for me.
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I’m not sure about this. Local formatting, including Headings, is visually useful within a document long before getting to Compile.
Alt+Shift+1 applies Heading 1. Alt+Shift+2 applies Heading 2. What’s easier than that?
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It really depends on how you use the outline, as there is no universal approach that is simpler or easier than the other, and certainly none that is more correct. I would say the main criteria to look for is:
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Do you restructure a lot, use intricate outlines with a lot of depth to them or build your work organically as you write? If so, hard-coding heading depth into the document is an inefficient way to work. If what you wrote three months ago as a section ends up becoming a chapter, than you have to go through and laboriously change all of your h3 – h5 headings to h1 – h3. If you use outline structure to generate headings though, your work was done the moment you moved the chunk of structure up two levels. Anyone that has found themselves annoyed by having to adjust Markdown hash levels for this very reason will appreciate letting Scrivener generate the hash depth for them on compile.
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Do you outline first, tend to rarely change your mind about major structural changes or use extremely basic outlining approaches (like a flat list of chapter files in the draft and that’s it)? It is like the folks that manually type in numerals into the binder to number their chapters instead of just choosing a section layout that does that automatically. If you never move anything at all, it is superficially easier to type in numbers and use style shortcuts. Nothing wrong with that—you’re using a system that is capable of way more than manual editing, but manual editing works.
That certainly is not the only criteria, but like I say I feel it is the one that has the most impact on which approach will suit you best. There are many ways of using Scrivener that sit between the extremes I described as well, and there are people that use compile headings in combination with style headings. This is also a right and proper way to use Scrivener.
Scrivener has a “Default” compile format for a reason—it’s there for those that don’t need fancy compile settings and do most if not all of their composition in the editor. You can still benefit greatly from Scrivener, without going all in on its philosophy of use.
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But all the OP was asking for is a shortcut to two headings styles. And the response was as though they were violating a Scrivener design principle in trying to perform a most basic word processing function, rather than redirecting their efforts through the Compile function. That doesn’t actually have a lot to do with different approaches to outlining a document, and whether you outline first or restructure a lot, etc.
The OP asked for
a way to set Heading 1 & Heading 2 while writing a doc and without resorting to my mouse.
Or is there a key command to open the Styles dropdown?
As to the second, not sure about the Styles dropdown in the format bar, but there is a command to open the styles panel. I changed mine from the default, but if you look under the Format - Style menu you can see what it is on your installation.
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In case it wasn’t clear, I was affirming one’s use of shortcuts and headings if they so please. 
The question itself had already been adequately answered above.
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Much thanks to everyone who responded with an actual answer! The ALT-SHIFT-# key commands are exactly what I was looking for (and I just noticed the ‘add style’ option so I can go crazy with headings if I want).
One thing that is endlessly fascinating about communicating on the web (or irritating, depending on how one feels at the moment) is the inevitability that someone will reply with what they think is the answer, making assumptions with zero knowledge whatsoever about what someone’s situation or use case may be.
Perhaps it displays a distinct lack of faith in other humans, that we don’t know what we’re asking. Or it’s an internal need to show that they’re the smartest person in the room.
But they are almost always wrong 
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