Since stenography consists of mashing a large number of keys at once (up to 20, actually, although that's not actually too common), normal keyboards can't actually support it. You need a keyboard specifically designed not to get confused when multiple keys are pressed at once. A gaming keyboard. The Microsoft Sidewinder X4 is the cheapest such keyboard.
Mine came today.
It's got a nice feel, although it's louder than the cheap HP keyboard I've been using - audible clicks for each keystroke. I'm hoping it will be a bit sturdier than most keyboards; I wear them out in about a year (a million words typed will do that).
One very interesting feature is the bank of six macro keys at the far left of the keyboard. These can be programmed to do anything - like start programs. I'm going to use them to switch modes between vanilla, AHK mode, and steno mode.
That's the plan.