Update: other than location when you're not Apple (e.g. iAds doesn't request permission even though it uses your location).
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.
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.