I admit to being a prime perpetrator of this. I am worse about it somedays than others. I've been stalked via the web, and still have problems with it from a few people. Some days, I am either tired of being so secretive or just not paying attention and so mention it anyway, but I often feel pretty vulnerable putting any location information at all in forums. I know that sounds a bit paranoid, but it doesn't take as much as one would hope to find ways to make someone's life a pain in the bottom.
I do have my state in my profile, but I often shy away from putting it into my posts. Profiles seem more private, and are often not as easily searchable as the larger web (where posts from forums regularly come up in crawler searches).
Edited for spelling.
"This isn't life in the fast lane, it's life in oncomming traffic." -Terry Pratchett
