Did you think MS was going to give you one for free?
Of course there are ways of obtaining product keys... but they are not exactly legal. With WGA, it's also a royal pain in the ass because MS keeps updating it, making it necessary to keep cracking it. Even if you do crack it, you still can't download a lot of things from MS's website (IE 7, Media Player 11, Windows Defender as examples)... so to me it's really not worth the hassle. I'd rather pay cash and be legit than to put up with all the BS.