Fpr the most part, they're a tool, same as anything else. A mate has one on his PC at home, so he doesn't lose any typing if the PC Bluescreens.
Are you thinking of hardware or software keyloggers? I guess that a software keylogger could be interrogated remotely, but that would be a lot more difficult with a hardware keylogger. For software keyloggers, you should be careful where you get them from, just in case you accidentally install a trojan at the same time.
Be careful though, you don't want to install them on other people's machines or public machines, without proper notice, as that would be very dodgy ground, legally.