Geolocation is a rather secret feature of some programs (browsers and toolbars) and smart phones. It allows the creator of that program to get a fix on the location of your computer to within a few meters of where you actually live. For the potential dangers read the article from BBC News entitled 'Web attack knows where you live' here.
The question is therefore how to effectively disable this feature. At this moment my little weblog offers solutions for
• Programs: Apple Safari, Firefox, Flock, Google Chrome, Google Toolbar, Opera and Twitter.
• Phones: Apple iPhone, Blackberry and Google Nexus One.
More info here.
With my Motorola Droid, there is a clear option to turn off GPS in the system settings. I assume there's a similar option with other smart phones (?).
Personally, I travel quite a bit, and I've used my phone for everything from turn by turn directions, to finding restaurants, etc. It's also nice to know that authorities could find me in an emergency (though as others have pointed out, I also have found, that exact positioning leaves a bit to be desired - especially if I were lying in a ditch in a wrecked car).
Agreeing with Bob, I find the feature of great value that I use often, rather than a violation of my privacy.
(However, of course, if I we're fleeing a bank I just robbed, I'd probably feel a little threatened by the GPS function on my phone...)