Keyloggers 

Keyloggers are also called keystroke loggers. It is a kind of software that logs every joy keystroke. Every typed word, sentence, information, symbols, passwords, numbers and personal data is detected and logged.
Keyloggers are used to obtain personally identifiable information. They need passwords, names, surnames, private messages that contain useful information, e-mail content, credit card numbers, bank account and other personal data. All this information is used by third parties. User or group of people use obtain data for some profit. It can commit carding or identity theft. It's of course illegal but it's possible. Your information becomes available for unknown users.
But there's another side of this topic. There are legal keylogging programs, for example Home Keylogger. It works as illegal keyloggers- in a hidden mode. It very useful:
If someone uses your PC and you're not sure about his knowledge in computers, keylogger will record every move he made and every he was doing. It he damages the system, you are able to see what was done.
You are able to restore lost data that was typed yesterday or a week before.
You will be able to monitor you children. You can see what URL they were typing and what sites viewing.
You are able to recover data that you have forgotten, password, login name or e-mail address.
You can even keep eye on wife's or husband's online and offline activities.
Keyloggers can be used to track employee activity during working hours.
Law enforcement also use keyloggers for it's purposes.

It's your decision if you want to have legal keylogger or not, but still prevention of malicious keyloggers is necessary. Illegal keyloggers will only take up your HDD space and is unnecessary for you if you have obtained it without knowing it. Using common and good anti-spyware programs should improve security against keyloggers. One of the best anti-spyware programs is Spy Sweeper that detects more keyloggers than any other program. Provide regular complete scan of the system. Don't download any freeware especially from suspicious sites. Don't give up passwords and other personal data by instant messenger or chat on IRC.