iOS 5 on the iPhone has Carrier IQ-style diagnostic information sharing turned off by default, but as part of the on-device setup process, asks you if you'd be willing to opt-in and share the data with Apple. If you did that, or aren't sure what you did, but now want to make sure you're opted out of anything even remotely Carrier IQ-esque, here's how to do that.
That's it, you're done. If you're curious what kind of data is being stored locally on your device, whether or not you choose to share it with Apple, tap on Diagnostic & Usage Data.
Mine contains a bunch of crash logs from AirVideo, a ton of low memory reports, some weirdness from Messages, Mail, and Twitter, and some games.
Either way, while it currently looks like Apple does include Carrier IQ in iOS, it seems they aren't polling very deeply, and what data they are collecting is opt-in instead of opt-out (which is great) and can easily be turned off entirely via the steps above.
If you have any other privacy, security, or tips in general, let us now!