To its credit, WSG does catch a fair amount of malicious sites. It is something like a combination of WOT and SiteAdvisor. WOT says whether a site is dangerous or not by what users say, and SiteAdvisor scans websites. One problem with WSG is that, like SiteAdvisor, it can rate a site as good and then the site "turns bad," or vice versa.
Another downside is the lack of a widely publicized forum (there is one here, though not many people are on it). WOT has a nice little section in their forum for people to post website links and ask them to be rated one way or another.
In my experience, warnings and information tabs are a bit slow in opening, too.