Your timestamped movements are a marketer's wet-dream. And since the iphone can both display advertising AND make purchases, said marketer has even more incentive to flip around your life in his OLAP tools like a rubic's cube.
I would go as far as to say that a marketing company should subsidize an iphone if the user agrees to install their version of "MobileMe".
I agree that MobileMe is a privacy concern, but I don't agree that the problem comes from marketers. An automated program will serve you ads which are relevant to where you are, and it is unlikely that a marketer can get directly to your data. The real problem is when people who do should not have access to your data get it, or when those who can get access legally abuse it.
Set up MobileMe to track your device _before_ you lose/get stolen your iPhone.
You can't set it up after the fact. Which painfully sucks.