Eh, not as much as you'd think. I've written keyloggers. In the XP days running a keylogger under local admin ensured you'd get everything, but that stopped working around the time of Vista. So now what you have to do is launch your keylogger process in the user session context anyway. Admin access would just get you the ability to do it to more than just the initially compromised account, but in my experience workstations are 1:1 so that doesn't really get you anything.