Keyloggers aren't really an issue. They're detected almost instantly by any antivirus/anti-infection software. They only keyloggers that would be of any threat are hardware based.
If you're paranoid enough to worry about things such as keyloggers, then Linux would give you a bit more peace of mind. It is practically impossible to install something on a Linux installation without you being prompted to enter the root password. If you have UAC enable on Windows, nothing you don't approve *should* execute.