You don't just install windows and get hacked. Like OSX, in windows 7 you have to authorize the installs. So if it was a keylogger on your system you had to give it permission to be there. You had to install it. And if you are going to authorize installs then OSX won't protect you.
That said, there are many ways to get your account hacked that has nothing to do with your computer.
You could log in from other locations such as internet cafe's, maybe work computers, maybe a friends computer that has a keylogger. If I was going to steal passwords I would intentionally install keyloggers at public locations. Maybe you logged in wirelessly and someone at that location pulled down your password, it's easy to do.
Most people tend to use the same usernames and passwords for other sites and games. Then a hacker has only to hack that site to get your info and then use that to log into other sites and games.
I give wow it's own username and password that I haven't used anywhere else and i've never been hacked. Even if I spend all day on porn sites and pirating software i've still never had a virus or other malware.