We decided not to get "Keyless" entry on our cars, I've had it on previous cars but I didn't find it very useful.
However mine is still without flaws as it can be easily stolen through the OBD port.
So I removed the OBDII port on my BMW and have hidden it somewhere else (Where I can access it if needed) as they are commonly stolen.
On our Mercedes it needs to see an IR signal from the key before it starts. I have no idea if these have been stolen over the OBD port though.