I quit WoW a long time ago, and since then there have been significant changes, including the introduction of a keyfob like Paypal's. This site has not been updated in years. However, much of the information still applies.
You've heard it all before, but it's important.
There are a lot of misconceptions about keyloggers. Time to clear that up.
There is only one way to keep login information safe, even on an infected computer: two-factor authentication. That's why captchas and dual-password systems will not work, they are still single-factor schemes. They're both "something you know" as opposed to "something you are" or "something you have." For an example of a working two-factor authentication scheme, take a look at Paypal's security key.
Given that WoW doesn't support such a scheme yet the best way to keep your login info safe is not to get your computer infected and not to share your login info with anyone.
Legitimate addons cannot harm your computer, as they contain no executable code. While it is theoretically possible that a hacker could find a weakness in WoW's LUA interpreter and exploit it, the chance of that happening is rather slim.
If you download an addon and it contains an executable (.exe, .bat, .pif, .com) delete it -- addons don't need executables and if it did, it's against TOS as a 3rd-party program anyway.