One thing I noticed when I fired up my first Windows instances on EC2 was that Windows never asked me for a license key. From examining the registry, it appears that a valid license key is installed at boot time. On two instances of image ami-b53cd8dc (ec2-public-windows-images/Server2003r2-i386-anon-v1.01 for i386) I got exactly the same key.
Likewise, on two different instances of ami-7b2bcf12 (ec2-public-windows-images/Server2003r2-x86_64-anon-v1.00 or x64), I got the same license key--though not the same key as the i386 image.
This tells me that the license key is probably baked into the image. It's also possible that these particular license keys are unique to my account. If someone else wants to compare keys, it'd be an interesting experiment.
Either way, the extra 2.5 cents per hour on the small instance must go to Microsoft to pay for license rental.