ChatOpenAI and other chat models require API keys. You should store these in your .env file. For example, for OpenAI and Anthropic, you can set the API keys in your .env file, such as:
.env
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OPENAI_API_KEY=ANTHROPIC_API_KEY=
For other LLM models you can refer to the Supported Models page to find how to set them up with their specific API keys.