One of the big features of iOS 4 is iAd, a new advertising platform created by Apple, supposedly so developers can make more money and keep their app prices on the cheap.
To provide location-based services on Apple products, Apple and our partners and licensees may collect, use, and share precise location data, including the real-time geographic location of your Apple computer or device. This location data is collected anonymously in a form that does not personally identify you and is used by Apple and our partners and licensees to provide and improve location-based products and services. For example, we may share geographic location with application providers when you opt in to their location services.
Unfortunately there is no way to opt out of this tracking. No matter what, Apple will still track what you do and where you. Yes, that sucks!
However, you can opt out of Apple’s targeted ads by navigating to https://oo.apple.com/ from your iOS device and voila. I guess Apple could have made this more obvious.