...if you had a keylogger you would be boned anyways. But uh, phishing would already have you boned to begin with, even without a keylogger.
I don't see how you can make having a compromised PC some sort of argument against having good security. Even if you had bad security you'd still be screwed if you were compromised.
As for websites, if you used LastPass even if you did have a keylogger you'd be relatively safe. You can't log automatic form filling as far as I'm aware.
As for games... if there's a possibility to have some sort of keyfob authenticator then getting that will also greatly increase your security. Though, most don't have that.
Not having a compromised PC tends to be the first step in keeping your password safe... xD