Update: other than location when you're not Apple (e.g. iAds doesn't request permission even though it uses your location).
This Activities API is also what allows developers to so easily roundtrip to a third party app and back again from within their own app. The barcode scanner is a good example.
EDIT: another example is how Launcher Pro lets you make homescreen shortcuts that "deep link" to functionality that is sometimes several menu-levels down inside an application.
You can opt out of iAds location stuff though, head to: http://oo.apple.com/
And I will say the new location settings in iOS 4 that let you quickly see what is requesting (and recently used) your location are nice.
It's a pretty decent opt-out method, but it only works because something hardcoded in the iOS version of Safari sends the UDID as a X-Header in the HTTP request headers -- specifically to the oo.apple.com domain (and a handful of others, all owned by Apple.)
If any other company wants to offer a systemwide opt-out for its iOS software, it's a lot more difficult.