The Times
had a piece today on various services you can buy to avoid getting personal information stolen while shopping online.
A few of them seem like they have some features beyond what you can do yourself, like seeing if your info shows up on sites that criminals use to trade IDs. OTOH, some of them seem to present as much risk as they remove, like Shop Shield that consolidates all of your online accounts in a juicy target.
Instead of a service like Shop Shield, you can avoid keyloggers yourself. Keep your name & shipping address on your address book program or in a text file. When you need to fill out a form, you can cut & paste them into the forms with the right-click menu & avoid using the keyboard at all.
Obviously, you can't do the same with credit card #s, but your bank may offer disposable numbers through a web app.