Normally when you're walking around with a WiFi-enabled device, if it's not connected to a network, it's broadcasting probes in order to try and find known networks. These probes would be sent using your phone's WiFi MAC address, which is a unique and normally persistent value. This means that anybody monitoring these probes, say in a department store for example, can persistently track you through a store and across multiple visits. This information isn't tied to your personal identity, but a lot of information about your shopping habits could be gleaned from this data by analytics companies, and some users aren't thrilled about not having a say in this. And remember, this isn't just an iPhone thing, this is a WiFi thing. This is what devices do. But Apple decided they could do better.