Software to show typed keys on the screen

For Linux check Screenkey: https://launchpad.net/screenkey

On Windows there is Carnac the Magnificent.

A keyboard logging and presentation utility for presentations, screencasts, and to help you become a better keyboard user.

Install via Chocolatey:

choco install carnac

Or Scoop:

scoop install carnac

Source on GitHub:

https://github.com/Code52/carnac