The Internet of Things is emerging as a vast, inter-connected space of devices and things surrounding people, many of which are increasingly capable of autonomous action, from automatically sending data to cloud servers for analysis, changing the behaviour of smart objects, to changing the physical environment. A wide range of ethical concerns has arisen in their usage and development in recent years. Such concerns are exacerbated by the increasing autonomy given to connected things. This paper reviews, via examples, the landscape of ethical issues, and some recent approaches to address these issues concerning connected things behaving autonomously as part of the Internet of Things. We consider ethical issues in relation to device operations and accompanying algorithms. Examples of concerns include unsecured consumer devices, data collection with health-related Internet of Things, hackable vehicles, behaviour of autonomous vehicles in dilemma situations, accountability with Internet of Things systems, algorithmic bias, uncontrolled cooperation among things, and automation affecting user choice and control. Current ideas towards addressing a range of ethical concerns are reviewed and compared, including programming ethical behaviour, white-box algorithms, black-box validation, algorithmic social contracts, enveloping IoT systems, and guidelines and code of ethics for IoT developers; a suggestion from the analysis is that a multi-pronged approach could be useful based on the context of operation and deployment.