It highly depends on what kind of campaigns your players enjoy. For "heroic, high magic" adventures where the PCs save the world from a demonic invasion by killing the demon lord in a titanic struggle, a keep is more of a hindrance or annoyance than a boon.
But for a more gritty and down to earth style, a keep is a endless source of adventure.
Make sure to decide on the government form and also communicate that to the players. Expectations of how nobility and government worked in the middle ages vary widely and only leads to confusion when the players are not on the same level. I personally prefer feudalism with the PCs being on the lower levels like barons with a single castle and surrounding land under their command.
Then they are not sun king style absolute rulers and also have obligation to their liege lord (some count, far away from the king of the country). And of course a lot of court and other intrigue you can make adventures out of.
Also, make sure that the players are ok with one of them being the top dog, meaning baron, and gets a little more spotlight. Otherwise try to find a other style of government (how about a merchant republic with them all belonging to the same house?).
I think the best, most fun adventures are not the ones which revolve around building stuff (unless it is truly epic stuff for a barony which taxes the lands but also alters it significantly) or the day to day business of the realm (although such an adventure at the beginning is good so that the players can get a feel of the setting), but instead about unusual events in the barony (and beyond) and how the PCs handle them.
Some ideas:
- The baron nearly died in an accident. Was it really an accident or an attempted assassination? And it also highlights the issue that he (assuming a typical D&D party) is unmarried and has no heir. Some surrounding barons and even a count are willing to marry one of their daughters to him, one more ugly than the next. But the alliance he gets would be a useful one.
- A peasant reports having received a miracle of <insert deity here> in a nearby <insert deity appropriate location>. A first investigation and even some low level divination confirm it. But was it really one? In the meantime the word has spread and pilgrims from all over the place arrive. With them comes money, but also crime and zealots, not only from the deity who bestowed the miracle, but also of his enemies.
- Your liege is raising the taxes higher and higher to indulge his hedonistic life style. Your peasants are grumbling, your coffers are empty, but your lieges claim is strong and he bought himself the respect of his peers. How do the PCs handle it?
- A group of priests with armed guards of a <distrusted race or nation / civilized monsters> appear and ask for permission to missionary on your lands. As payment they promise great gifts to come in a few months. DO the PCs allow them to stay? Are they true to their word? And what if yes and their religion becomes popular causing an outrage among the nearby lords?
- A large band of religious warriors traveling to their destination (think Crusade/Jihad) come through your lands. The leaders are courteous and as a true believer you are obligated to help them, but also their presence disrupts the country as they need to gather and pillage for their supplies. The peasants are worried that they will starve in winter and some even start to question the church!
- The brother of the duke (the liege of your liege) arrives with a band of mercenaries and the levies of some local barons and wants your support in overthrowing his brother who is a tyrant. It is obvious that he would make the better duke, but it is still a rebellion and choosing the wrong side could mean your heads. Especially as the king has not yet spoken on that matter (and is also too weak to enforce order).