The default client for the current versions is a far leap better compared to the legacy version. you can actually play with it and reasonable expect to be able to do things.
As far as fears of keyloggers and such... stick to the known entities, the ones that have established track records of quality support and trustworthiness. If you're fear is a game client with a keylogger going while it is running, then you should be very careful about even being on the Internet. There are quite a few ways of ensuring these sort of things can't work on your system if you want to get into system security. However, if you're going to go that far, it's probably just as easy, if not easier, to learn how to search the code for warning signs (such as a redirect to an unknown 3rd party server).