This is a long-standing issue still present in Cubase 6 and seems like a very big oversight.
File -> Export -> Audio Mixdown
If there is a MIDI track record-armed in your project when you bounce audio, any MIDI received (ie, from your MIDI keyboard controller) will be printed into the bounce! This should never happen. What makes it the most bizarre is that it happens regardless whether you select off-line bounce or real-time bounce. Even if you off-line bounce, it will receive MIDI on any armed tracks and pass it through.
Suggestion to Steinberg: Any MIDI-thru should be automatically disabled at time of bounce!
(Cubase 6 32-bit mode on OSX 10.6.6 - Mac Pro 8-core)