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What size is this tank? What type of algae? What is your water change schedule (%/#wk)? What are your numbers for ammonia, nitrite & nitrate? Purchasing something to clean the tank is NOT the answer here. You need to address why you have algae issues in the first place.
Nerite snails I find are very good at eating algae. They ate also pretty colorful too and there are a few species and won't breed in freshwater so you don't need to worry about that.
Plecos & catfish are really not compatible with goldfish. Snails, as long as they are big enough that they wont fit in a goldfish's mouth, are a good idea (quarter-size or larger). Shrimp will be dinner for a goldfish. You still have not mentioned how big this tank is- this would help with other possible suggestions.
I have a nerite and it did great for a while. It's never gone hungry, despite weekly cleanings. Now, all it seems to do is wander around laying little while eggs while the green film builds up on my back glass. I still like it, though. Every algae eating creature I've ever had seems to work hard for a while and then just gives up. So, the moral of the story is, you can buy any algae eater you want as long as it is appropriate to your tank and you'll still like it if it stops cleaning your algae. The only effective method is scrubbing