One of the new features in the latest Firefox 2 is the Phishing protection, a feature that warns you of suspected Web forgeries, and offers to take you directly to a search page so you can find the real Web site you were looking for. You can test the Phishing Protection feature by browsing to this test site. A security feature that makes Firefox users more secure, but rumors about privacy storm related to the phishing protection are totally wrong.
Asa Dotzler cleared up this issue and explained how the phishing protection works, while you can find all details in the phishing protection page :

Firefox phishing protection offers users protection from online identity and credential scams by checking the visited sites against a local list of known bad sites. This list of bad sites is refreshed regularly by Firefox — every 30 to 60 minutes. At no time are the users’ visited sites shared with any third parties (or even with Mozilla) when using this feature in it’s default, and quite capable, configuration.

In other words there is nothing to worry about, only if you worry about Google bandwidth ? In that case Firefox offer the possibility to add phishing protection from others data providers. And anyway before enabling the Ask Google feature for every site you visit a warning message will be displayed to inform you before to opt-in for this feature, so nothing is send in your behind !