I have used several keyers with the HL2, namely
microHam DigiKeyer II
microHam DXP
K1EL WinKeyer
several Arduino-based WinKey clones
and used them in contests as well. Here the communication between
the contest logging program and the keyer is via USB (or USB-to-Serial).
So the type of keyer is immaterial, as long as it can sink the
HL2 CW input line.
As for the side tone, you either relay on the side tone of the small "buzzer"
built into the keyer (many keyers have this), or you can use the KeyOut line
to switch an external tone generator whose output is mixed with RX audio
and then goes to your ears.
A very fancy solution is available, in which there is a microcontroller
(Teensy) that acts as a sound-card and as a keyer to the computer,
and which internally mixes the side tone with the RX audio, see
https://github.com/softerhardware/CWKeyer
and ther is also a Google group on this.
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