It's still pretty useful for sorting data where you know the keys are small integers (say, less than a machine word).
So if you put a bound on the size of the keys, let's say 32bit, it becomes linear? Obviously it would be cheating to put a giant number here :)
If k ∈ Θ(log N), then O(Nk) becomes O(N log N), which is asymptotically no better than any optimal comparison based sort.
However, if k ∈ o(log N), then we get an asymptotically better algorithm.
A comparison isn't always O(k). It's O(k) for strings. It's O(1) for machine-word integers. It can be much more than O(k) for user-defined types, eg. it can be O(k^3) if you have to multiply a matrix out and take the determinant of the product.
So the fact is that quicksort is a factor O(log n) slower than radix sort. The flip side is that quicksort is more generally applicable to any comparison function whereas radix sort only works for lexicographic sorts. In almost all cases that is exactly what you want, but for example I'm not aware of any way to efficiently sort rational numbers with radix sort.