The new iPhone operating system is being rolled out and that means that iAd will be included. iAd is an advertising platform powered by Apple which shows advertisements on applications that have them embedded. Anyone that sees the iAds will be providing Apple with cookies for providing demographic information about themselves. However there is a way to opt out providing cookies. Here is how you do it.
Go to this link on your Apple device: http://oo.apple.com/. You will be notified about how to opt out from there. However this does not mean you will not be shown advertisements anymore. The advertisements are still there, but they will not be tailored towards your interests.
However Apple will continue to track your location and reserves the right to share it with their partners. Many services depend on this feature such as Twitter and Foursquare. Rest assured, location data is collected anonymously in a way that does not personally identify you.