Keyloggers can be physical devices or sneaky Trojan downloads. They track all of the keys you push on your pc and steal your information. As careful as I am, I got notification of an attempt tonight so I'll be extra careful.
Beware the biggest method is following an email link. It is always best to copy and paste into the address bar.
This note is for the logger folks: U Stink. That should take care of that, right?