I've seen a few unlockers/keygens create spam registry entries, but beyond that, I rarely find any malware outside of separate files packaged with the keygen that you can execute separately using your own discretion.
You may want to use User Rights tweaks just to be sure, and always scan with a heavyweight like KAV (keygen not necessary with 6.0 beta). At least, this is what I do, and KAV has almost always reported them clean.
I recommend a freeware Windows hardener, Secure-It »
www.sniff-em.com/secureit.shtml for the User Rights tweak. It adds 4 levels of execution to any executable file, so that you can just open the keygen as Guest, have it generate, without being able to change the registry, create files, etc.
The dangers of piracy are largely overblown if you know what's dangerous and what's not. Pages where you find the keygens embedded with malware are much more popular than keygens embedded with malware.