From my previous entry about the SpellBound Firefox extension, comments had suggested checking out Google Toolbar which now includes spell check, but be aware that it sends data back to Google servers.
We process your requests in order to operate the Google Toolbar. For example, by knowing which web page you are viewing, the PageRank feature of Google Toolbar can show you Google’s ranking of that web page. Likewise, by processing the text on a web page, SpellCheck can offer spelling suggestions and AutoLink can provide useful links to information.
I confirmed that doing a spell check operation sends the data to a Google server, presumably where the spelling analysis takes place. The data is sent over SSL, so it’s not possible to observe the exchange. This design actually makes sense, leaving the processing for spelling or link suggestions on the server. But, the trade off is privacy and whether you want your data sent to Google servers.
If you’re doing something that will be public soon anyways (e.g. this blog entry), it may not be a concern. But, if you’re doing something sensitive or confidential (corporate bug database, for example), I’d recommend IESpell for Internet Explorer or SpellBound for Firefox.