Their "No Spyware" image links to http://www.siteadvisor.com/sites/ghostery.com , which says only that the website is queued for testing.

Since it is a Firefox extension, you can just open up the package and look at the JavaScript (my quick perusal saw nothing out of the ordinary). Still, it would be nice if they said "Ghostery parses the web pages you visit to find web bugs" or something.