Carrier IQ is a diagnostic tool used by some carriers. An agent was embedded into the OS and it collected hardware related data to assist the carrier in troubleshooting customers devices and cell service. Unfortunately, while it wasn't done maliciously, the agent software was coded with little or no security in mind (sadly not uncommon). Therefore, it could theoretically be used as a vector for an attack/hack. Also, the software was logging things like GPS location (for the purpose of correlating location with cell towers/signal problems) and keystrokes, but since it probably isn't legal to collect such data without consent it was a big issue. There was a congressional hearing if I'm not mistaken.
At&t dropped it and Apple stopped including the agent in iOS after the controversy. Windows Phone never implemented it in the OS. Both Windows Phone and iOS are designed in such a way that the agent would either have to be installed by the user and permitted to "access location", etc. or it would have to be built into the OS itself by either Apple or MS. Neither OS exposes APIs that would allow a third party app to access that kind of data in any other way (in many cases the required APIs don't exist at all, like capturing keystrokes system wide). These limitations are by design. Android has no such limitations and it is apparently still in limited use by T-Mobile and Sprint on some Android devices. However, from what I understand the user can opt out in the phone settings (previously the agent was embedded within the OS with no indication to the user) and the agent software has been changed so that it doesn't collect data that would be illegal.
The bottom line is it's only a concern if you are using certain Android devices on certain carriers.