Not everyone is a thief, very rude to assume that.
I have this question as well...
No, my phone is not jailbroken, I don't need this as I am very happy with the app selection in the Apple store and my phone is unlocked from the factory as I bought it in the UK. The reason why I would like to change my UDID for example is, that so when I sell my phone, a person who installs an app won't be able to acces my data. I mean, some applications use the UDID to provide a "logon-less" profile on their services, like the game "Farm Story". This provider happens to allow transfer of accounts between devices by letting them know the new UDID of your new device, but other services don't offer this... That means that when the new owner of my old device loads an app that I used to use, he/she might be looking at my data!
I don't know how providers manage their apps in this case, not sure if it's linked to the Apple account (store account), but I presume it isn't because they don't ask for your account details, they automatically know your UDID when you connect to their servers, so this is the only way they can identify who is using the service and then they will show the data that was created/modified on that device with that particular UDID. This is a safety concern, a lot of people sell iPhones for many reasons, I always sell mine when I want to upgrade to a newer model, and I don't feel particularly happy to know that people will be able to access data that I've created just because the UDID will stay the same even if I erase my phone settings and do a hard reset.