Indeed, I would never use a bitcoin address that I hadn't generated myself. That's just a huge security risk. Plus, I never saw the big attraction with vanity addresses. They're just for transacting with, not advertising.... not effect advertising, anyway. 
There is a way to securely use vanity addresses generated by someone other than yourself if you use the split-key method:
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Generating a split-key vanity address can be outsourced to a third party miner without risking your final private key being compromised. Moreover, work on such address generation can be distributed to many miners simultaneously through a use of a pooling service. One example of such a service is Vanity Pool.
Exactly. The third party won't have your private key at all with split key.
For more technical details, you may refer to https://bitcointalk.org/index.php?topic=19080.0;all
