Budgeting software

I’m interested in refining my budget a little bit more than what I’m doing now, and was browsing the shelves of Target last night when I noticed the financial/budgeting software. Is there anything that you would recommend? What about the free offerings on the web? I’ve heard about different websites that offer the same thing, but am concerned about security and my data being sold to marketers. After all, my complete financial information would be out there if I went with that option.

Any advice? I’m looking for something where my banking transactions could be grabbed and dumped into one database, helping me to see what percentage I’m spending where.