Utility to simply show status of Ctrl, Shift, Alt keys?

Done:

http://svn.lando.us/joey/Public/SO/SU114626

Used the low-level keyboard hook code by Stephen Taub. May contain bugs, malfunctions and other weird things. May eat babies without prior warning. Right-click to close.

Feel free to use or adapt the code as you see fit.

While waiting for Joey to fix his link, I made another one. Download the executable (and code) here: https://github.com/Elusive138/KeyStatus/downloads

It uses basically the same method as Joey's, and supports the Windows key. The display is a little much bigger.

Do whatever you want, no warranty, yadda yadda yadda

Windows on-screen keyboard fits your "always on top" and "small Windows utility" criteria. Each time Caps Lock or a modifier key is pressed it'll be highlighted on the on-screen keyboard. It's built-in so you don't need a 3rd party app.