If you haven’t already found this “hidden” setting is iOS6 on your iPhone, this article tells you how to turn off the “un-mentioned” Ad Tracking feature.
It also points out that: (1) Ad Tracking is turned ON by default, so you have to turn it OFF yourself, (2) The setting is under General > About > Advertising and NOT Privacy as you would expect, and (3) The setting is called Limit Ad Tracking so to turn OFF ad tracking you have to turn the setting ON.
Be careful out there!
Thanks to Chrisi Shock for posting this article in the first place!