The Microsoft checker is lacking. It gives no advice about the construction of the password. That is it does not tell you why your password is goood or bad. There are other checkers which give better feedback on your password construction so you can come up with a better one.
As far as typing the actual password you are planning on using into one of these thing, that may be a bad idea. However you can still use them to test your construction methods and get feedback on the passwords created. Then use the same method and construct a different one that you actually use.
Does anyone know of a good forum for this kind of question?