Matt Blaze wrote a nice roundup about cell phone wiretapping and tracking. As some of these techniques are already well known by interested individuals, I just want to add another method which at least seems imaginable.
As modern smart phones are basically personal computers, it shouldn’t be that difficult for some agencies to exploit them in order to place some nice malware on the phone. So it’s perfectly imaginable to leave the cellular radio running and registering with the cell network even after the off button has been pushed and the phone appears to be off. For that reason don’t be surprised when you discover you’ve been tracked and spied on while carrying a power-off cell phone with a battery in it.