To log in to my bank online I need a browser certificate, my login, my 4-digit pin-code, and a 6-digit one-time random number from a little card my bank sent me. To get the browser certificate you need my login, my 4-digit pin-code, and another code the bank sends by SMS to my cell-phone.

I love my bank, their authentication is cheap, platform-independent and reasonably secure. It's definitely safe from keyloggers, because it requires access to items that are in my possession. And best of all, it's not annoying for me as a user.