I check labels, worry about fair trade/sweatshop/child labor/"criminal" slave labor, fret over loss of local jobs.
For bike clothing I like to get made in USA if I can: Bellwether, Ibex, Rivendell's MUSA, Terry. My next (or parity) choice is other union-strong countries. Really get a kick out of buying stuff made in Canada, as I grew up on the border and sometimes feel more Canadian than US.
Both CampMor and Sierra Trading Post list the country of origin of all their stuff.
"If Americans want to live the American Dream, they should go to Denmark." - Richard Wilkinson