Well, there's a theory floating around some tech circles that there's a remote-activated keylogger built into every keyboard sold in the US. It wouldn't be hard to do, and unless they activated it, no one would know it's there, and if windows pipes the keylogger invisibly, you'll never know someone was recording you. Because we don't really know what sort of secret deals are made with corporates, it's not as unlikely as it sounds.

Of course, it doesn't even have to be that sophisticated. A simple radio receiver/recorder within a few feet (or yards, if it's sensitive/focused enough), can record the pulses as your keys activate, and have been used for years to spy on people. The advantage there is that you can put it anywhere, retrieve it later, and you have a permanent record of the information, for later review. It's not hard to do, any kid with a moderate knowledge of electronics (or plans from the internet) could be recording your info anytime.

In the past, these things have mostly been used by cops and similar, but nowadays it's not unusual that someone stakes out coffee shops, and when you carelessly go to the counter for a refill, they walk out with not only your laptop, but access to anything on it.