Back on March 31st Eyonix warned us of a newly discovered Windows vulnerability that could have resulted in keyloggers landing on your system. At the time, Microsoft did not yet have a patch available, meaning that Eyonix's best advice was to "be careful." However, today Microsoft has released hotfixes for all versions of windows that should resolve the issue. So if you're running WoW on Windows, I highly recommend that you run Windows update or visit Microsoft's site to download the hotfix as soon as possible. Trust us -- keyloggers are bad, mmkay?
Update: Drysc has made a post regarding this subject highlighting the fact that this patch isn't a keylogger cureall. Says Drysc:
The patch released doesn't stop someone from downloading executables and running them without the proper precautions, and you can still be susceptible to keyloggers, viruses, trojans, etc. The update released by Microsoft is a very specific fix for a specific way that a keylogger could end up on a Windows machine, it doesn't protect you from obtaining a keylogger or virus, it merely patches one specific way you could get one. It's important that you be proactive about your computer and its security.
And for general security purposes, he advises reading this post on keeping your login information secure and Blizzard's support page on account security.
[via MMO-CHAMPION, which has links to more technical information]