The problem is with your euro cylinder. This is a common problem, and it's the central cam that has slipped from it's normal position of 7 o'clock (or 5 o'clock depending on which way you view it). With the cylinder removed (as described above), take the key out and observe where the cam is (the black bit in the middle that rotates around). I'd hazard a guess that it's about about 11 o'clock (or 1 o'clock), and this is the reason the key will not retrun to it's usual 6 o'clock position to remove it.
Remedy - buy a new one (follow guide above), and make sure it's fitted as near to flush as possible on the outside.
Just to say thanks for this info, and add a little of my experience. Yesterday my wife tried to lock our UPVC door from the outside while there was still a key in the lock on the inside. She managed, but commented later that she did have to force it a bit!
This left us with the same problem others have mentioned, in that we now couldn't get the key out of the lock with the door unlocked. Anyway, I'd took out the euro cylinder and right enough, with the key at 12 o'clock, the cam was more at 11 o'clock rather than your suggested 5 or 7 o'clock.
I was prepared to go out and buy a new cylinder, but though I might try reversing what had caused the problem, so I discovered that with both keys in the cylinder, I could force one side to rotate (it was just stiff, it didn't need a huge amount of force) without the cam moving. So about 1/4 turn anti-clockwise I took out the key I wasn't forcing (it was still in the 12 o'clock position and so could be removed), then when I returned the side I was forcing back to 12 o'clock, the cam was now at 7 o'clock, and everything seemed fine.
I gave it a couple of test turn from both sides and the cam seem to behave as expected, so reinstalled the cylinder, and my door lock is working again, and now I can remove the key from either side, with the door locked or unlocked.
Hopefully this might help someone else, though I could well believe it will be safer to got and get a new cylinder, but this will tide us over until I do.
Cheers,
Neil