It has been revealed that iPhones secretly log the locations of devices on a secret file which is synced across to the machine which holds it's parent iTunes account. This file is very easily accessible and has raised some fears about privacy, and the motivations behind Apple's inclusion of this functionality, and moreso why they did not chose to disclose it.
Despite the privacy concerns, I actually quite like knowing where I have been. In fact, the photos application on iPhone has a map feature which plots the GPS coordinates of your photos onto a map of the local area, giving photographs more geographical context.
If you wish to see what locations your phone has logged, go to this website, and download the app. Works for Mac OSX.