Most of you have probably heard about the location data being stored on the iPhones running iOS 4+ but now there has finally been a reply from the fruit-logo company itself. The first question and answer is great:
1. Why is Apple tracking the location of my iPhone?
Apple is not tracking the location of your iPhone. Apple has never done so and has no plans to ever do so.
If you'd like to read further (it's quite a read) click on that Source button for some Apple-flavored reading.