Currently on a beginner course and noticed no visual keystrokes on screen.
Course instructor has been verbalizing the keystrokes, mostly, but having the keystrokes show up on screen would be great.
Down in the description area for the class could be a list of the used keys.
These are a couple of ideas I had during the course.
I was also surprised to see that there were no on-screen key stroke annotations for Blender courses when I first started with CG Cookie as I had grown accustomed to these helpers from watching the usual blender tutorials on YouTube. Early on though, (I forget who or where) someone explained the reason for this. Since the instructors can't rely on the on-screen key strokes, they are required to slow down and clearly state their actions. So instead of the instructor flying through a series of actions and the student having to rewind and pause the video to figure out what just happened and how, the instructor moves at a steady pace explaining the steps taken one-by-one. As beginner to blender, I appreciate this approach and it is one of the small things that goes a long way to reducing the learning curve for me and one of the reasons why I come to CG Cookie: clear, consistent instruction.
As for your idea for a cheat sheet of hot keys that were introduced in the lesson, I think that's a great idea and hopefully something the CG Cookie crew will consider as they work on the updated material for the upcoming blender 2.8 release!