Geotagging your photos is very useful because it allows you to display your pictures on a map helping you remember where you took them. Furthermore, you can use reverse geocoding to automatically add location information (country, nearby places) to your image by using a webservice such as geonames.org.
The good stuff
The Solmeta Geotagger N2 makes it very easy for you to add geographical information to your images. It’s a small GPS that you slide into the flash shoe and connect directly to your camera. Every time you take a photo it writes the coordinates directly into the Exif header. Furthermore, it also records the height and the direction using its contained electronic compass. This works perfectly and the big advantage over a separate GPS device is that you don’t have to synchronize the location data with your photos later with specialized software. The manual is also pretty extensive and helpful.