I'd be concerned about Mint.com too except that's it's pretty high profile, not some guy who set up his own site in his basement.
Here's their security/privacy page, and they're TRUSTe and VeriSign certified. Not that you should ever not be cautious.
Mint makes its money by getting commissions on recommending financial products that will save you money, ie, bank X has a savings account with higher interest, Mint refers you, and the bank pays Mint $35 or something. I and several people I know have been using it a long time, but it's up to you whether you want to try it or if you think it'll help.