I recently purchased ESET's AV and firewall software suite. I know it to be a respected app but when reading the license while installing they made it clear that they will collect not only information about infections on your machine but all of your installed software and settings. They then go on to vaguely promise to keep it as reasonably private as possible.
I am not the paranoid type but I really don't think it's their business to require this information, it should be an option. I'm also not exactly thrilled about the company being outside the US which means if they did violate my privacy in any intentional way I would have limited recourse. Is there a product as good as theirs that respects your privacy?