Here's a blog, Watts Up With That?, that documents with photographs some weather stations that are taking temperature measurements under conditions that violate standards for site locations. There are photos of temperature sensors on concrete, on asphalt parking lots, next to buildings, and close to multiple air conditioners. I was disappointed to see that the University of Arizona, where I went to graduate school, was an offender, with its weather station located in the middle of a parking lot (pictured). Anthony Watts' blog describes the rules for siting weather stations, shows pictures of violators and explains why what they're doing is a problem, and shows the data from those stations.
There are all sorts of bias-correcting measures applied to temperature measurements, but I don't think they are correcting for sensors that are located in the path of air conditioner exhaust.
This might be a reason to prefer satellite data. (NCDC's website has a huge collection of climate-related data from many sources.)
UPDATE: Hume's Ghost points out in the comments that bad sites show the same long-term warming trends as good sites, with a link to his blog, The Daily Doubt, on the subject.
UPDATE (July 31, 2009): Peter Sinclair's Climate Change Crock of the Week has done a video on Anthony Watts' claims--and Watts has misused the DMCA to get the video taken down. But it's back!
UPDATE (February 5, 2010): The U.S. Climate Reference Network provides further evidence that surface station siting problems are not responsible for anomalous temperatures. The linked-to post at Rabett Run includes a comparison of the University of Arizona COOP station with readings from the Sonora Desert Museum in Tucson.