If you're giving a website sensitive data, you should check that they are secure.
It's very easy to see if a website has a secure server – in the address bar of your browser, instead of the usual http:// you'll see https:// .
A secure sever means that the machine that's hosting the website has an encrypted connection so when you enter information into a form, for the split mili-seconds that the data takes to enter the website's database (or whatever's happening to it) – whilst it's travelling through cyber-space – it's encoded so if anyone were to intercept it, they wouldn't be able to understand it.
It doesn't mean the web pages of the site are more trust worthy with regards to content or that your data will be more securely stored overall (although you could argue it shows the website owners are security aware so will have good practices in mind), but it means that it's harder for anyone to intercept that data in the time it takes for you to click “send” and for it to arrive at it's destination.
If you're entering your name and email address into a contact form on a little holiday cottage website, they're unlikely to have a secure server – but then it's unlikely anyone will be bothering to try to intercept a couple of email addresses a week. But if you're entering your credit card information then you MUST make sure the site is secure.
Google Checkout and Paypal logosSometimes companies don't get their own secure server and so use a third party to handle credit card transactions for them – such as Paypal, Google Checkout or WorldPay. So when it comes to entering your details, you'll see that whilst you were on http://www.shop.com/checkout, suddenly you're taken to https://www.paypal.com/etc to enter your card details. Or maybe you stay on http://www.shop.com but the card details form is in a little box on the page and says it's “powered by WorldPay”. You can read more about this in shopping online.
In these cases the shop you're buying from probably never see your credit card details and the transaction is handled securely by a big specialist company, with refunds and safeguards in place for it's shops and consumers.
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