In the tiny, inconsequential doses that they have been used, no, I have had no concern at all. My four-year-old son is fully immunized and am perfectly happy with what science is producing to protect him.
Remember: chemicals are everywhere in nature. Just because they have complex-looking names doesn't automatically mean they're dangerous in themselves. And just because thimerosal is chemically related to the kind of mercury that is dangerous in larger doses doesn't mean that thimerosal is itself dangerous, especially in the tiny quantity that was once used in vaccines.
Remember: chemicals are everywhere in nature. Just because they have complex-looking names doesn't automatically mean they're dangerous in themselves. And just because thimerosal is chemically related to the kind of mercury that is dangerous in larger doses doesn't mean that thimerosal is itself dangerous, especially in the tiny quantity that was once used in vaccines.