If you are in a publicly accessible place they could easily attach a hardware key logger and you would be none the wiser. Best check any changes to you keyboard and usb ports periodically. Lock / put tamper seals to anything that can be opened or unscrewed.
Detecting software keylogging is not trivial either because programs legitimate log key strokes. So if they don't know the program the detection software has to look for a modus oporandi and can get it wrong.
If there is program that is regularly connecting to the internet, your security should let you know. Key logging is the end result of poor all-round security, if a key logger operates with impunity on you computer, you could be part of a bot net or anything.
If you have some basic idea of the do’s and don’ts of computer safety you should be better prepared and less vulnerable. If people are sending you joke programs, etc you have to ask yourself if you really care about seeing the joke or game and risk compromising your computer? Can you really verify were it came from in the first place?
There is software/hardware the proactively changes the way you authenticate things. This means the traditional keyloggers don't get the information they need
Not strictly a key logger, but much of public information is obtained through misdirection. From subtle to not so subtle (i.e. phishing).
When you buy on a site make sure you are still on a trusted site when you check out, make payment, every step of the way. I figured out a way to divert payment away from ebay though scripting (and it wasn't email phishing). There are load of vulnerabilities like that, and some companies are careless with their customers security. Be wary of obscured urls they may look the similar like trick spelling, sub domains, etc.