I had mine set to Set Automatically and when I woke up this morning it was back 2 hours and said I was in Chicago (I am in New York) and I could not change it. So I had to turn it off and manually set it.
(I was really screwed up this morning.. my alarm clock was 1 hour behind, my phone 2 hours, my computer was correct but I didn't know what was going on for the first few minutes!)
Edit: OK so I turned off Set Automatically, restarted the phone and turned it back on and it switched form Chicago to New York and now all is fine.