I forget which one I used last time I installed a keylogger.  I was hired by some parents to stick one on their machine to find out what their daughter was up to... from what I heard it wasn't a bad call on their part, though I felt rather Big Brother doing it.  One thing to keep in mind, a number of the 'free' keyloggers, and probably some of the less reputable paid ones... may well be trojans themselves.  IE... don't just go to 'Download.com' and grab a keylogger that's free.  I forget which one I used, but it obfuscated itself rather well.. hard to find unless you were specifically looking for it... didn't pop up in add/remove programs etc. 

As for Narukami's question... much depends on whether you have physical access to the machine, or if it's a remote machine to which you wish to install a keylogger.  Obviously if you don't have physical access, you are going to need to either use valid credentials to remote into the box (if that is open), drop an exploit to get a prompt on something that is running, or get the user to unwittingly install a trojan of yours.  Emenem sucks. 

And Jason... if you have any links for USB 'do it yourself' keylogger hacks.. I would LOVE to see some read outs.  I want a good concealable USB keylogger, but don't plan to shell out a hundred bucks for one.  That's one of the little hardware goodies that just hasn't gone down in price enough yet.  Couple other goodies I would love to have too... unfortunately they're not le... never mind.