Now it gets scary: I knew that you can buy pretty small keystroke logger to be placed between the keyboard and the PC. Now, the keystroke loggers are even offered to be placed into normal keyboards - and that to be bought via the internet... They are sold as "security keyboard" :-)

But it is not THAT bad, at least they have a disclaimer:
Using the KeyGhost to log/record other people's keystrokes, steal passwords or break into another persons computer without his/her knowledge can be considered as an illegal activity. It is the final user's responsibility to obey all applicable local, state, and federal laws. Our hardware is intended for authorized system administrators, employers, and/or owners of the computer. KeyGhost & partners, the device's creator, and it's employees assume no liability and are not responsible for any misuse or damage caused by our KeyGhost product.

Look at it: http://www.keyghost.com/securekb.htm

Roger