This freeware program purports to work not by blocking installation of keyloggers, but by preventing them from logging your keys once installed. Lifehacker tested it by loading a keylogger and reported that it seemed to work, at least in that case, as the keylogger's log file was completely empty.
Of course, you probably shouldn't just install this program and go off clicking strange links willy nilly, but it does look like it could be one more line of defense in the ever escalating battle to protect your computer and your account from those who would steal it. Plus, it's free, so that's even better.
[Thanks for the forward, DrDiesel!]