Your iPhone, Nokia, BlackBerry or Android device may or may not have keystroke-sniffing software called Carrier IQ embedded at the root. If the software does reside on your device, then it may be secretly creating logs of everything that's happening on the smartphone at the kernel level, tracking every text message and naughty schoolgirl image sent and received on the device.
EDIT: Bitdefender has released a detection app for Android phones (> version 2.1) http://www.tomsguide.com/us/Bitdefender-Carrier-IQ-Android-Rootkit-Mobile-Security,news-13394.html
