It all depends on how two-dimensional it is and how blatant.
For example, Psion mentioned having a problem with an "all religions are evil" game. Personally, I think something like that is exceedingly easy to make into a playable game. It's already integrated into some settings, such as the Defiers of Planescape. I'm sure any number of people would hop on-board a game where the game centered around the Defiers and readily go along with the all religions are evil plot the DM set-up. They might not even realize what the DM was getting at regardless of how blatant it was. Heck, considering how Planescape decided good doesn't necessarily mean good, anyway (witness the Harmonium), certain things could conceivably be stretched quite a bit.
Of course, Planescape has the distinguishing mark of not necessarily supporting that agenda. The Defiers are just one of many Factions, after all. So the setting doesn't have an agenda, per se, even though an individual DM might.
Similarly, many of the World of Darkness games can be considered to have their own agenda. Just on a fairly inoffensive issue, there's a strong, anti-technology thread that winds its way through Werewolf: the Apocalypse, Mage: the Ascension, and Changeling: the Dreaming.
One thing that I think is important is that, even if a game does have an agenda, it needs to show that those who serve whatever the antagonist happens to be aren't necessarily bad folk. Or, at least, have believable characteristics to them.
Perhaps in the "Ooze uber alles" example, it might be that some ooze-hunter happened to have had his father killed by an ooze. Or perhaps he just has a family that he loves and cherishes. Or whatever. Or perhaps it just has some ooze that really needs to be locked up. Or whatever.
The point is, an agenda can be fine so long as that it's willing to concede some flaws in its self or some merits in whatever it's opposed to. That, while over-all said agenda might be dandy, it's not perfect and it's opposite isn't completely worthless.
Even then, it can be obnoxious. But I think that's a matter of how much you agree or disagree with something.
And, all told, I think it's rare to find anything without some form of an agenda to it, even if it isn't necessarily a conscious one. A writer of such and such a religious, political and social mindset is likely to have protagonists that reflect those viewpoints and antagonists that reflect their opposites.
Is it wrong to put an agenda in, though? Deliberately, at least? Hmmm...no, I don't think so. But it needs to fulfill those two things I mentioned: it can't be two-dimensional and it can't be blatant. Otherwise, it becomes preachy, even if I happen to agree with whatever the point is. Too many written works have an agenda for me to really say that it's a bad thing.