While I don’t consider a particular danger for the average person, I thought it might be interesting to see how powerful spy versus spy and business intelligence gathering capabilities are. Here
is a study on detecting the electromagnetic waves that are emitted by wired and wireless keyboards.
They were able to retrieve keystrokes from keyboards up to 20 meters (sixty feet) away. They were even able to distinguish between different keyboards in the same room.
The reason I don’t believe that the average person has much risk is due to the specialized nature of the equipment necessary. A national espionage organization or a large business concern definitely would have access to such equipment. One scenario that I could think of is a setting up in a hotel room next door to the intended target.