No they don't.
Most of them don't actually, meaning most of those made before around 2005.
A lot of brand new models now do not include GPS functionality either. Of course, it is becoming more and more common. But the latest LG Cookie, for example, does not have GPS. We have 4 mobile phones in my family, and none of them have a GPS reciever.
The way to find the location of a mobile user has long been triangulation between connection towers, and that method will remain as reliable as it gets without mandatory GPS.
After all, even a phone with a built-in GPS locator can have its locator inhibited by software (I think).

All phones have a built in gps,its some number that distinguishes you from the next phone.Kind of like your IP address when connected to the internet. The only way to shut it down is by pulling the battery out. The secondary one is shutting your actual gps off in your settings, but then any apps that use gps won't work. I don't use a cell phone, so on this one I have to say don't single out apple. Its also another way for law enforcement to find you if they absolutely have to.

http://www.youtube.com/watch?v=VRTngtsOY8Q

That old problem of what to make victims of your racially aggravated despotism wear (Jew = yellow star, gay = pink one, black = ...not exactly necessary).

So, Windows users get the little four-colour flag, I think. Other software on IBM-compatible hardware, a familiar blue square design. Never mind that "IBM-compatible hardware" includes Apple PCs now. Which dual-boots.

Well Apple changed a lot since 1984.
http://www.youtube.com/watch?v=OYecfV3ubP8
Now they maby break the harsh German privacy laws, that are made because off the Nazi and Stasi madness. I am just wondering this. If the Apple logo are the equivalent off the Swastika what colour off star will us "not Apple fanboy" bee forced to wear? ;)