This has been much discussed (use the Search function).

HUD means heads-up display.

According to PokerTracker support, no sites currently ban the use of PT. Same with PokerAce. There was a scare when Empire was mailing warnings to some people who had PT installed, but that was apparently a misunderstanding. Go to those products' support forums for more information.

You CAN get banned for using tools that either specifically mine data from tables you don't play at (StarSpy) or that mine data and sell it to you (PokerProphecy).

Some sites (Party in specific) can know what you run because when you signed up you agreed to let them check your computer for banned software while you're on the site.

HTH.