Ebook Readers Track Detailed Reading Habits and Location Information
These vary between readers, so you will want to check out the EFF (Electronic Frontier Foundation) list showing which ones compromise your security more...
Here is the article (and podcast) on the NPR segment on this topic:
Is Your E-Book Reading Up On You?
http://www.npr.org/2010/12/15/132058735/is-your-e-book-reading-up-on-you
And here is EFF's page providing more useful information:
An E-Book Buyer's Guide to Privacy
http://www.eff.org/deeplinks/2009/12/e-book-privacy
And though not mentioned in either article, here is something that is potentially related. This is in regard to the Obama administration (and Obama himself supporting/requesting) tracking American's locations through their cell phones: