KeyCastr - KeyCastr lets you easily display your keystrokes while recording screencasts.
Kling - Visually display key presses on Windows screen
Carnac - A utility to give some insight into how you use your keyboard/
KeyCastOW - keystroke visualizer for Windows, lets you easily display your keystrokes while recording...
Key-mon - Utility to show live keyboard and mouse status for teaching and screencasts.
Visualize - Visualize allows you to highlight your key presses and mouse clicks right on your desktop.