So, I know I said this on the guild channel at some point, but I want to re-inforce this.
I think that Blizzard isn't having so much a 'zomg keyloggers from ch1n4 are hzxx0ring lulz' moment as much as 'ZOMG WE GOT HACKED'. I'm pretty sure that they got a security breach on their network and they just aren't admitting it - they're just saying 'IT WOULD JUST BE NICE IF YOU CHANGED YOUR PASSWORD AND UPDATED YOUR EMAIL.' (The email account associated with your WoW account would not show up in a keylogger unless you were updating your account page, so this is an atypical thing to pick up. Also, it would likely already be in your web cache, at which point you have other issues.)
The moral of this story is, please update your passwords, but not because there are digital gremlins running around, but likely because Blizzard got caught with their pants down.
I could be wrong, this is just my amateur opinion.