You know, if you have a keylogger on your machine you probably have bigger problems than your wow account getting hacked.
OTP just seems like such a ridiculously heavy-handed solution to this problem.
Uhm, not really. 10+million WoW subscribers mean a lucrative market for goldfarmers and hackers. When there are dozens of active and dangerous keyloggers/trojans out there that are dedicated only to steal Battle.Net accounts, you know it is something that should be taken care of.
It is not really exclusive to WoW either, many succesful MMO games offer Authenticator as that is an easy to set-up, cheap and almost completely safe tool for someone that values the time (sometimes months, years, half a decade in the case of WoW) that they have put into their accounts.
I have a WoW with 6+ years, an SCII collector and soon a D3 on my account - why risking to lose it when an authenticator costs like...5-10 bucks? Especially when we have bought it when more accounts could use one authenticator, and my girlfriend and me both use the same authenticator, so...
If I would be heavily investing into stuff like FFXIV or Aion, I would get authenticators there as well.
Also, you might have missed this, but there were scandals like premade PC-s coming with a "clean" installation of WinXp AND a preloaded WoW keylogger on them already, or flash critical errors that allowed trojans to be on sites like WoWhead or even Wow.com for a few hours, etc. This is not the usual safety concern, it is a bit more.