It's not an irrational fear. Mt Gox has been compromised in the past IIRC. However, at the moment, they are the most trusted exchange out there so, most likely, your information is safe. Stay paranoid though. It will serve you well as you navigate this community.
Wise words.. Not used Mt Gox, did hear about the high profile compromise though.
I used mercabit.eu for my only (so far) transaction and the dude was quick and helpful.