Maybe something along these lines?
The handler .unknown to list installs an .unknown/.code key that appends the unknown key and possibly its given value (enclosed in { }) to the list #1. An additional .@clear list key is used to clear the list #1, though if the keys are executed inside a group (as with TikZ on paths) there shouldn’t be much use for it, I guess.
The \pgfutil@gobble (which apparently isn’t available with pgfkeys) removes the first , from the list. (Of course, is the solution is only intended for LaTeX, the usual \@gobble can be used anyway.)
The amount of \expandafters simulates a \expandonce/\appto combo (etoolbox) because we can’t assume everything is expandable (and should be expanded at all).
Code
\documentclass{article}
\usepackage{pgfkeys}
\makeatletter
\def\pgfutil@gobble#1{}
\pgfkeys{/handlers/.unknown to list/.code=%
\let#1\pgfutil@gobble
\pgfkeysalso{% or \pgfkeys{\pgfkeyscurrentpath/.cd,
.unknown/.code=% how to handle the difference between 'key' and 'key=value'?
\ifx\pgfkeyscurrentvalue\pgfkeysnovalue
\let\pgfkeys@temp\pgfkeyscurrentname
\else
\expandafter\expandafter\expandafter\def\expandafter\expandafter\expandafter\pgfkeys@temp\expandafter\expandafter\expandafter{\expandafter\pgfkeyscurrentname\expandafter=\expandafter{\pgfkeyscurrentvalue}}%
\fi
\expandafter\expandafter\expandafter\def\expandafter\expandafter\expandafter#1\expandafter\expandafter\expandafter{\expandafter#1\expandafter,\pgfkeys@temp},%
.@clear list/.code=\let#1\pgfutil@gobble}%
}
\makeatother
\pgfkeys{/my key/.cd,
x/.initial={0.5},
.unknown to list=\myList
}
\begin{document}
\pgfkeys{
/my key/.cd,
x=2,
blub=1,
bla=\textbf{2},
dingenskirchen=something else
}
\meaning\myList
\pgfkeys{/my key/.@clear list}
\meaning\myList
\end{document}
Output

\pgfkeyscurrentnameand\pgfkeyscurrentvalueto that list? Of course, any misspelled or really unknown key will be forwarded too. – Qrrbrbirlbel Jun 19 '13 at 16:58\includegraphics. If the list contains a key which\includegraphicsdoesn't know it should give the normal error messages. With xkeyval I would use\XKV@rm. – Ulrike Fischer Jun 19 '13 at 17:04