If yes, do you know some examples of Keyloggers capable of perform this?
EDIT: I mean when logon in the windows right after power on the PC and/or when locked with Win+L.
The log on screen is created by the WinLogin process. If a program can bind to the WinLogon process then it can most definitely keylog your login password.
The Metapreter Payload from the MetaSploit library is a good example of a tool capable of migrating into the logon process. You may look at "MetaSploit Unleashed", to learn how to compile Metapreter into a binary payload (.exe) or attach that to another (.exe) and obtain the same results.
A good demonstration of the technique can be seen at : Clicky
Note: Use of any kind of malware or spyware should only be done with prior consent of the system owner and/or users.
Also, look at Polynomial's comment below for other ways. +1 to him ;)
Hypervisor malewares should be definitely capable of doing this. http://en.wikipedia.org/wiki/Hypervisor#Security_implications