All these location-aware devices we have now with GPS capabilities are turning out to be a boon for crooks. Here is how it works: people go on vacation, take pictures with their location-aware iPhone or Android phone, and upload the picture to Facebook with the exact location conveniently added in. Crooks browse Facebook pages, find someone on vacation a long way from home, and then head over to your house for a leisurely romp through your belongings.
Other problems with indiscriminate use of location-aware information? Law enforcement officials can use that information to build a case against you in a criminal trial--it's a form of self-incrimination that you voluntarily offer to law enforcement and to trial lawyers in civil proceedings.
Voluntarily giving up your location in real time has more benign but still problematic privacy issues, as it allows Web sites and the ad/search engines behind them to add to your dossier--they know everywhere you go, and thus build ever more sophisticated targeted marketing. It's not that the ads are so bad in and of themselves, but once that location information is collected, it can be sold and re-sold to other parties for years.
I wish the iPhone had an opt-in or opt-out preference; many iPhone apps constantly ask if they can use location information, and I have to constantly answer, "No." It's a pain in the neck, and none of their business.
Many free apps for Android and the iPhone are free because they collect lots of information about you; that information is sold to third parties, and that's what keeps the app "free." Sometimes it might be better just to pay a few dollars to preserve a few shreds of your privacy.