Depending on the kind of Tracking Software/Spyware/Adverstisement Supported Software, there are various methods to avoid data collection:
Hosts File
If your iPhone is jailbroken, you can add blocking lines to your hosts file that will block transmissions to tracking servers.
PrivaCy
The tool called PrivaCy can be used to opt out of Flurry, Medialets, Mobclix and Pinch Media. It can be used on jailbroken phones only, since a global opt-out is not possible with AppStore applications due to security reasons.
Settings
Open the global Settings application and see if the application in question has its own page there; browse this for a toggle for statistics.
Take care on first start
Some applications ask you on first start whether you want to participate in statistics - read this carefully whenever trying a new application.
Test apps
Use FileAlyzer 2.1 to analyze single iPhone applications, or Spybot 2.0 to scan all your installed AppStore applications.