The increasing prevalence of location-sharing features on social media has enabled researchers to ground computational social science research using geolocated data, affording opportunities to study human mobility, the impact of real-world events, and more. This paper analyzes what crucially separates posts with geotags from those without. We find that users who share location are not representative of the social media user population at large, jeopardizing the generalizability of research that uses only geolocated data.We consider three aspects: affect -- sentiment and emotions, content -- textual and non-textual, and audience engagement. By comparing a dataset of 1.3 million geotagged tweets with a random dataset of the same size, we show that geotagged posts on Twitter exhibit significantly more positivity, are often about joyous and special events such as weddings or graduations, convey more collectivism rather than individualism, and contain more additional features such as hashtags or objects in images, but at the same time generate substantially less engagement. These findings suggest there exist significant differences in the messages conveyed in geotagged posts. Our research carries important implications for future research utilizing geolocation social media data.