HTTPS indicates the site is using SSL or TSL. SSL and TSL are encryption protocols used to ensure that the only parties that can read your data are you (the client) and the website you're transmitting it to (the server).
For example, mysteryshopforum doesn't use SSL on their login forms. That means if you're using a public WiFi network (at a hotel, McDonalds, Starbucks, ect) a tech-savy person can "sniff" your network traffic and read everything that you're transmitting over the network (including passwords, SSNs, ect). If the page is SSL or TSL secured, there's a secure tunnel between your computer and the website, so anybody sniffing your traffic in between will only see encrypted text (not your password).
If you're at home on a trusted network (you know nobody else is on it), I wouldn't mind entering sensitive information on a nonsecure page. Yes, third parties between your connection and the website can see the information, but if you know nobody else is on your network, chances are it's only your ISP (and possibly the government if you're being taped).
However, I'd avoid AT ALL COSTS entering sensitive information via a non-secure site when you're on a public or unencrypted network.