The problem with data collection like this is almost always the secondary, unanticipated uses of the data. One example is what happens when a company that collects your location data goes out of business or is acquired. Any agreement it might have had with you vis-a-vis privacy is essentially moot. And when Internet companies go out of business, their data is often their only tangible, valuable asset.
So, conceivably, the company that tracks how often you go to Mickey D's might end up selling that information to your health insurance company. Expect your rates to rise accordingly.
Still, that's nothing compared to what happens when the authorities or a particularly aggressive divorce attorney gets ahold of this information. That's when the fecal material hits the rotating blades.
Here's an instructive anecdote. Back when I was writing a book about privacy with an awful title that nobody bought (Computer Privacy Annoyances, still available at Amazon, amazingly enough) I had a conversation with someone at the New York State Department of Transportation about their E-ZPass program, which used RFID tags to let drivers to pass through the toll gates on bridges and tunnels without having to stop and pay. Their cars were automatically ID'd by sensors and their owners charged a monthly fee. The cars' comings and goings were recorded and stored by the DOT.
I asked how many times the DOT had received legal orders requesting E-ZPass location data. The woman I spoke to told me it had happened about 250 times in 2003 -- twice as many as the previous year -- and the DOT provided that information in roughly half those cases. This only came to light because I found a news report about four NYC cops who got fired for being clocked in at work in Manhattan when they were actually at home in New Jersey. The E-ZPass data was how they got caught.
This was one state, back in 2003. Imagine the wealth of location data available to legal authorities now. At this moment a Federal Appeals court is determining how much location data cops can request from wireless companies, and if they even need a subpoena to get it. Congress is mulling new location privacy protection laws (though if past laws are any indication, don't expect much protection from them).