Noob question: what bones should I keyframe?

My question is simple.

Suppose I set up a rig with some bones that behave as constraints for the bones that actually deform the mesh.

For simplicity, of course, I put constraint-bones in a separate bone layer and the bones, which deform the mesh, in another bone layer that I switch to invisible.

When I pose I use constraint-bones only. Wich bones should I keyframe (Insert Keyframe: I key) when my pose is ok, to create my Actions/IPOs?

Looking in some example, like 2legs.blend, it seems that only constraint-bones have keyframes.
But what about if I have to export skeleton for a game? Should I bake animation of the bones influencing the mesh and then delete constraints, before export it?

IIRC, you only keyframe the bones you moved to create the pose.