IE7 and FF3-Win do this. FF3-Mac and WebKit do not. If it's technically possible, it seems that we should try to match IE/FF3-Win as that would almost definitely maximize compatibility with the web.
It would be interesting to verify whether this is so for all major Windows IMs and Internet Explorer - per IRC discussion, Oliver thinks that some of them may only dispatch DOM events when their input area is confirmed.
Also, Safari Windows cancels IME input when keydown in preventDefaulted. See http://jparent.googlepages.com/brokenIMEEvents.html