Have you ever tried to make a small program going through all the parent-less windows in system and applying WS_VISIBLE to them? Results can be funny.

include 'win32axp.inc'

DELAY = 1000

proc start
local msg: MSG
  xor    edi, edi
  lea    ebx, [msg]

  invoke SetTimer, edi, edi, DELAY, TimerProc
  jmp    .getMessage

.messageLoop:
  invoke DispatchMessage, ebx

.getMessage:
  invoke GetMessage, ebx, edi, edi, edi
  sub    eax, -1
  cmp    eax, 1
  ja    .messageLoop

  invoke ExitProcess, edi
  ; No asmcoder, I won't use ret in place of ExitProcess, don't waste your time posting
endp

proc TimerProc hwnd, uMsg, idEvent, dwTime

  inc    [count]
  cmp    [count], 5
  je     .quit

  invoke MessageBox, 0, "It got called!!", "Windowless timer test", 0
.exit:
  ret

.quit:
  invoke PostQuitMessage, 0
  jmp    .exit
endp

count dd 0

.end start

;Note that the function return value can be TRUE, FALSE, or -1. Thus, you should avoid code like this:

;while (GetMessage( lpMsg, hWnd, 0, 0)) ...  
 

;The possibility of a -1 return value means that such code can lead to fatal application errors.
    

.messageLoop: 
  invoke DispatchMessage, ebx 

.getMessage: 
  invoke GetMessage, ebx, edi, edi, edi 
  test eax,eax ; -1,0,1
  jg .messageLoop
; jne .error
; je .exit    

If this parameter is NULL, WM_HOTKEY messages are posted to the message queue of the calling thread and must be processed in the message loop.

Return Value

If the function retrieves a message other than WM_QUIT, the return value is nonzero.

If the function retrieves the WM_QUIT message, the return value is zero.

If there is an error, the return value is -1. For example, the function fails if hWnd is an invalid window handle or lpMsg is an invalid pointer. To get extended error information, call GetLastError.

RegisterHotKey with 0

Quote:

If this parameter is NULL, WM_HOTKEY messages are posted to the message queue of the calling thread and must be processed in the message loop.

Hence no window needed. Thread will receive thread-only messages via message loop if there are no windows created.

But, can we be sure that it will work always?

0 through WM_USER        Messages reserved for use by the system.
WM_USER through 0x7FFF   Integer messages for use by private window classes.
WM_APP through 0xBFFF    Messages available for use by applications.
0xC000 through 0xFFFF    String messages for use by applications.
Greater than 0xFFFF      Reserved by the system.    

.messageLoop:
  invoke DispatchMessage, ebx

.getMessage:
  invoke GetMessage, ebx, edi, edi, edi
  cmp    eax, 0
  jz     .wm_quit
  cmp    eax, -1
  jz     .big_problem_display_error_and_quit
  jmp    .messageLoop    

True, it would not work for messages in the range [80000000,FFFFFFFE]. Seems safe for some years.

.messageLoop:
  invoke DispatchMessage, ebx 

.getMessage: 
  invoke GetMessage, ebx, edi, edi, edi
  sub    eax, -1
  cmp    eax, 1
  ja     .messageLoop

  test eax, eax
  jz    .big_problem_display_error_and_quit 
.wm_quit:
.
.
.

.big_problem_display_error_and_quit:
.
.
.
    

.messageLoop:
  invoke DispatchMessage, ebx 

.getMessage: 
  invoke GetMessage, ebx, edi, edi, edi
  sub    eax, -1
  cmp    eax, 1
  ja     .messageLoop
  jb    .big_problem_display_error_and_quit 
.wm_quit:
.
.
.

.big_problem_display_error_and_quit:
.
.
.    

When a key is pressed, the system looks for a match against all thread hot keys.

Quote:

When a key is pressed, the system looks for a match against all thread hot keys.