Ah yes, but that's not entirely accurate. You still get geo-located ads if you haven't given location permission. Apple's ads don't show a notification and since you don't know when your UUID is given out if another app has given your location ads all over can be targeted.
It's a pretty decent opt-out method, but it only works because something hardcoded in the iOS version of Safari sends the UDID as a X-Header in the HTTP request headers -- specifically to the oo.apple.com domain (and a handful of others, all owned by Apple.)
If any other company wants to offer a systemwide opt-out for its iOS software, it's a lot more difficult.
You can opt out of iAds location stuff though, head to: http://oo.apple.com/
And I will say the new location settings in iOS 4 that let you quickly see what is requesting (and recently used) your location are nice.