I've used the Alexa toolbar on IE for a while. I use FF now, so I haven't used it in a while. I've had no problems with it. Yes, I am aware that Alexa collects data. How else would they be able to rank web sites?
But Gator/Gain/Claria is much worse. It sometimes installs without you even knowing. And /G/G/C collects a lot of personal info. Not to mention, PcWorld, Cnet, etc. all really frown upon Claria.