For future reference (if the replacements don't work out), the Logitech G15 works this way. At least mine does, the older one with a blue LCD, and 18 macro keys. The logic isn't directly in the keyboard like the AnyKey, but it does have a dedicated record button to start and stop capture of a macro.
One other indispensable (to me, anyway) feature of the AnyKey is that I can remap any key (get it? AnyKey?

) into either a macro or another key. So that the letter "n" on my keyboard types (are you ready for this?) "n", while "ctrl+n" types "ñ". Similarly for á, é, ¿, etc. I need that stuff down here south of the border.
With four AnyKeys to work with, it's a pretty good bet I can put together one good one!
Thanks for the heads up on the Logitech G15. I'll definitely look into it.
tanstaafl.