The standard way to create an "empty" object is:

$oVal = new stdClass();

But I personally prefer to use:

$oVal = (object)[];

It's shorter and I personally consider it clearer because stdClass could be misleading to novice programmers (i.e. "Hey, I want an object, not a class!"...).

(object)[] is equivalent to new stdClass().

See the PHP manual (here):

stdClass: Created by typecasting to object.

and here:

If an object is converted to an object, it is not modified. If a value of any other type is converted to an object, a new instance of the stdClass built-in class is created.

and here (starting with PHP 7.3.0, var_export() exports an object casting an array with (object)):

Now exports stdClass objects as an array cast to an object ((object) array( ... )), rather than using the nonexistent method stdClass::__setState(). The practical effect is that now stdClass is exportable, and the resulting code will even work on earlier versions of PHP.

However remember that empty($oVal) returns false, as @PaulP said:

Objects with no properties are no longer considered empty.

Regarding your example, if you write:

$oVal = new stdClass();
$oVal->key1->var1 = "something"; // this creates a warning with PHP < 8
                                 // and a fatal error with PHP >=8
$oVal->key1->var2 = "something else";

PHP < 8 creates the following Warning, implicitly creating the property key1 (an object itself)

Warning: Creating default object from empty value

PHP >= 8 creates the following Error:

Fatal error: Uncaught Error: Undefined constant "key1"

In my opinion your best option is:

$oVal = (object)[
  'key1' => (object)[
    'var1' => "something",
    'var2' => "something else",
  ],
];