A Simple Caesar Cipher in Python
Some style notes (you can read more 'bout them on Python's official style-guide which is called PEP8):


you misspelled Caeser. It should be Caesar.
function names should be snake_cased not camelCased
instead of commenting lines at the middle of the method, just add a docstring:

def choose_mode():
    """
    Docstring here 
    """
    # the rest of your code

you should add the if __name__ == '__main__' guard




About the code


It's pretty weird to use exit which is a helper for the interactive shell instead of sys.exit which is intended for use in programs. I'd  stick to the latter.
In collectMessage() you can directly return raw_input("Enter the message you would like to translate:\n\n")
In collectKey(): you can remove both continue statements
You should use format() when printing. Here, you can read more about formatting.




About the algorithm


In Python, we have the translate method which applies a substitution cipher to a string. More, when building the translation table, in Python 2, we have string.maketrans.

import string
from string import ascii_lowercase


shift = 6
cipher = string.maketrans(ascii_lowercase, ascii_lowercase[shift:] + ascii_lowercase[:shift])

print "I love to review code at midnight because I have no life".translate(cipher)


Which outputs:


  I rubk zu xkbokc iujk gz sojtomnz hkigayk I ngbk tu rolk

Another built-in that you may take advantage of is:

"I love to review code at midnight because I have no life".encode("rot13")





PS: You can also have a quick look at this answer for other recommendations that might apply quite well to your code.