I ran into this with a customer of one of my clients recently. The insurance company was using a setup from Websense to snoop on all HTTPS traffic. As best as I could tell, they were snooping ALL traffic (banking, healthcare included), not just "safe" sites.
Surely this breaks privacy laws in numerous instances. HIPAA? Banking laws? Shoot, there's a federal law that could make snooping in on your NetFlicks traffic (video rentals) illegal. Ironically, if SOPA/PIPA had passed, HTTPS snooping would have been legal.
As for the moral aspect of this, and all the people that say "you shouldn't do personal stuff at work," a few points to keep in mind. 1) Only the IT staff at this company new what was going on. No one outside the IT department could find any reference, or notification. 2) This was REQUIRED on all home PC's that utilized their VPN network (kinda shoots down doing your home stuff at home). 3) From what I was told by their IT staff (remember I was a 3rd party, trying to get our networks connections to work), the IT staff regularly "audited" HTTPS traffic. That means someone in-house was regularly looking at bank account information, and health care information of their fellow employees, and they weren't making this known to the general population within the company.
I tried to get some main stream press attention on this topic a while back. No one would bite.