Get the "Retrieving GPG key .." error, files get downloaded but fail to update
I solved the problem by get the RPM-GPG-KEY from the first CD of the installation media. In my case, it is "RPM-GPG-KEY-CentOS-5"
Need to import this key to RPM's DB, run the following command as root
rpm --import RPM-GPG-KEY-CentOS-5