Though Apple says the data is all “collected anonymously in a form that does not personally identify you,” there is no way of opting out of having your location data collected: by clicking OK on Terms and Conditions when you install Apple software, you are explicitly giving Apple the right to let its partners know where you are and where you've been. I've also asked Apple if turning off Location Services (under Settings:General) will prevent any data from being collected (of course, this would also cripple Maps and any other location-aware app).
As many have noted, Google has been doing this from the start with Android, so maybe it's not that much to worry about. Still, Apple has been pulling patents for location-based ad services, for example, that could become increasingly intrusive, and it seems like opting out isn't as straightforward as we've been led to believe.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.
Some location-based services offered by Apple, such as the MobileMe “Find My iPhone” feature, require your personal information for the feature to work.