I saw a recent DOJ case the other day that highlights the risks of buying counterfeit software. The DOJ press release (PDF link) says that the individual who sold the counterfeit software through online auctions also utilized a keylogger to capture account numbers and passwords send them back to himself. This case is a good example of how more can be at risk when someone purchases counterfeit software than just getting a cheap knockoff of the product.
Separately, Microsoft announced earlier this week 21 new law suits in 14 states against software resellers accused of selling counterfeit Microsoft software. A number of the resellers are alleged repeat offenders having been sued by Microsoft previously. Some of the leads that resulted in these suits came from customers validating their copies of Windows with WGA. The press release also calls attention to one of my favorite sites www.howtotell.com as a good resource consumers can use to learn about the many things Microsoft does to help protect software from counterfeiting. In fact, many counterfeiters don't even do a very good job of copying the genuine article and by using the information on a site like howtotell.com it can be easy to pick out the fake.