Free Windows utility TrayStatus does exactly what its name suggests it might, cramming a whole host of useful extra status icons into the familiar system tray (known officially as the notification area). It gives you at-a-glance readings for Caps Lock, Num Lock, Scroll Lock and the main modifier keys (Alt, Ctrl, Shift and the Windows Key).
The program installation wizard is straightforward enough, though you might need to tweak your system tray settings to make sure the icons TrayStatus introduces are always visible: to do this, right-click on the system tray clock and choose Properties. Click Select which icons appear on the taskbar and toggle the TrayStatus icons so they're constantly showing.
It's up to you which icons TrayStatus uses -- right-click on any TrayStatus icon and pick TrayStatus Settings to make your choice. As well as the lock and modifier keys, it's also possible to add an icon showing current hard drive activity. If you spend a lot of time using keyboard shortcuts, it's a handy application to have available (particularly if your keyboard doesn't have the relevant LED light notifications).