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During the last few years there has been an increasing number of people-centric sensing projects. These combine location information with sensors available on mobile phones, giving birth to a different dimension in sensing our environment and providing us with new opportunities to create collective intelligence systems to address urban-scale problems such as air pollution, noise, and traffic. However, as people are directly involved in the collection process, they often inadvertently reveal information about themselves, raising new and important privacy concerns. While standard privacy enhancing technologies exist, they do not fully cover the many peculiarities of these new pervasive applications. The ubiquitous nature of the communication and the storage of location traces compose a complex set of threats on privacy, which we overview in this article. Then we go through the latest advances in security and privacy protection strategies, and discuss how they fit with this new paradigm of people-centric sensing applications. We hope this work will better highlight the need for privacy in urban sensing applications and spawn further research in this area.