Interesting topic and great advices! Last time I was infected was when WoW went from standalone to their blizzard launcher first phrase, It was so buggy and I hated the launcher, so went on the WoW forums found a launcher bypass and bam, Keylogger. Lost 20k gold during LK expansion and all my hard earned gear..... Ended up quitting WoW after that even when WoW restored my account.
Does self infecting count? if so then I get infected everyday =P
Edit: The WoW thing was the one that stands out the most, not my most recent infection, the most recent infection had to do with Black Desert Online. It was thru a link someone posted on Discord for world boss updates.