PxKeystrokesForScreencasts - Displays Keystrokes in an overlay window

Greenshot - Greenshot is a free and open source screenshot tool that allows annotation and highlighting using the built-in image editor.

Screenkey - Screenkey is a screencast tool to display your keys inspired by ...

Shutter - Shutter is a feature-rich screenshot program.

Kling - Visually display key presses on Windows screen

Snipping Tool - Use Snipping Tool to capture a screen shot, or snip, of any object on your screen, and then annotate, save, or share the image