You can delete your data off the Omni Sync server any time you wish, although they'll still have backups containing it for up to 6 months, and it is not encrypted on their disk. Personally, I think their precautions are sufficient for most who are not contractually bound, and as someone mentioned elsewhere, even when you are working with sensitive data, your actions may not be. You can read their privacy policy here:
http://www.omnigroup.com/support/privacy
To delete your data, just mount http://sync.omnigroup.com/<user> from your Mac's Finder, then delete the files. You may have to try "sync1", "sync2", etc. instead of "sync" due to a bug (present in Snow Leopard, not sure about Lion).
If you don't use the Omni Sync server, Bonjour is an option, or running your own WebDAV server. If you use Bonjour, there's a password set on the Mac when you configure the Bonjour service inside OmniFocus which is needed to access the data.