The following is a complete program. It works fine as long as you don't uncomment the '#define BROKEN' at the top. The break is due to a PInvoke failing to marshal a union correctly. The INPUT_RECORD structure in question has a number of substructures that might be used depending on the value in EventType.

What I don't understand is that when I define only the single child structure of KEY_EVENT_RECORD it works with the explicit declaration at offset 4. But when I add the other structures at the same offset the structure's content get's totally hosed.

//UNCOMMENT THIS LINE TO BREAK IT:
//#define BROKEN

using System;
using System.Runtime.InteropServices;

class ConIOBroken
{
    static void Main()
    {
        int nRead = 0;
        IntPtr handle = GetStdHandle(-10 /*STD_INPUT_HANDLE*/);
        Console.Write("Press the letter: 'a': ");

        INPUT_RECORD record = new INPUT_RECORD();
        do
        {
            ReadConsoleInputW(handle, ref record, 1, ref nRead);
        } while (record.EventType != 0x0001/*KEY_EVENT*/);

        Assert.AreEqual((short)0x0001, record.EventType);
        Assert.AreEqual(true, record.KeyEvent.bKeyDown);
        Assert.AreEqual(0x00000000, record.KeyEvent.dwControlKeyState & ~0x00000020);//strip num-lock and test
        Assert.AreEqual('a', record.KeyEvent.UnicodeChar);
        Assert.AreEqual((short)0x0001, record.KeyEvent.wRepeatCount);
        Assert.AreEqual((short)0x0041, record.KeyEvent.wVirtualKeyCode);
        Assert.AreEqual((short)0x001e, record.KeyEvent.wVirtualScanCode);
    }

    static class Assert { public static void AreEqual(object x, object y) { if (!x.Equals(y)) throw new ApplicationException(); } }

    [DllImport("Kernel32.dll", CharSet = CharSet.Unicode, SetLastError = true)]
    public static extern IntPtr GetStdHandle(int nStdHandle);

    [DllImport("Kernel32.dll", CharSet = CharSet.Unicode, SetLastError = true)]
    public static extern bool ReadConsoleInputW(IntPtr hConsoleInput, ref INPUT_RECORD lpBuffer, int nLength, ref int lpNumberOfEventsRead);

    [StructLayout(LayoutKind.Explicit)]
    public struct INPUT_RECORD
    {
        [FieldOffset(0)]
        public short EventType;
        //union {
        [FieldOffset(4)]
        public KEY_EVENT_RECORD KeyEvent;
#if BROKEN
        [FieldOffset(4)]
        public MOUSE_EVENT_RECORD MouseEvent;
        [FieldOffset(4)]
        public WINDOW_BUFFER_SIZE_RECORD WindowBufferSizeEvent;
        [FieldOffset(4)]
        public MENU_EVENT_RECORD MenuEvent;
        [FieldOffset(4)]
        public FOCUS_EVENT_RECORD FocusEvent;
        //}
#endif
    }

    [StructLayout(LayoutKind.Sequential)]
    public struct KEY_EVENT_RECORD
    {
        public bool bKeyDown;
        public short wRepeatCount;
        public short wVirtualKeyCode;
        public short wVirtualScanCode;
        public char UnicodeChar;
        public int dwControlKeyState;
    }

    [StructLayout(LayoutKind.Sequential)]
    public struct MOUSE_EVENT_RECORD
    {
        public COORD dwMousePosition;
        public int dwButtonState;
        public int dwControlKeyState;
        public int dwEventFlags;
    };

    [StructLayout(LayoutKind.Sequential)]
    public struct WINDOW_BUFFER_SIZE_RECORD
    {
        public COORD dwSize;
    }

    [StructLayout(LayoutKind.Sequential)]
    public struct MENU_EVENT_RECORD
    {
        public int dwCommandId;
    }

    [StructLayout(LayoutKind.Sequential)]
    public struct FOCUS_EVENT_RECORD
    {
        public bool bSetFocus;
    }

    [StructLayout(LayoutKind.Sequential)]
    public struct COORD
    {
        public short X;
        public short Y;
    }
}

UPDATE:

For those worried about the struct declarations themselves:

1. bool is treated as a 32-bit value
2. the reason for offset(4) on the data is to allow for the 32-bit structure alignment which prevents the union from beginning at offset 2.

Again, my problem isn't making PInvoke work at all, it's trying to figure out why these additional structures (supposedly at the same offset) are fowling up the data by simply adding them.