Line 1 road in Niagara on the Lake.

Note: Many of my recent photos have GPS info embedded in the EXIF data, so you can check their exact location in flickr map, or any other app that can read the GPS info in an image file. for example this shot's location is here. Or you check the map for my geotagged flickr photos here.

Update: Here's a brief description of my Geotagging (Embedding the Geographical information to the photo) process.

1. I have a small portable GPS Data Logger (Globalsat DG-100) in my camera bag at all times. A GPS Data Logger is a relatively cheap device, and it doesn't have an LCD screen or any real time MAP features, but what this device does is when activated it records my location on an interval time. It has three customizable time settings, for example when I'm riding my bicycle I set it to every 30 seconds. The device can run for many hours, even days, logging my whole trip in every 30 seconds. The GPS Data Logger records the location based on the local satellite time.

2. This step is very important. You have to set your camera's time and date carefully. What I do, which seems to work fine, is to set my camera to the time on www.timeanddate.com on local time. Just search for the city you're in and set your camera's time to that.

3. When I get to a computer I download the logged GPS info and export a GPX, KML or KMZ file. These files can be used in any application that supports GPS, such as Google Earth. You can see your whole trip in Google Earth by opening these files. To dowload the log files from the device I use the software that comes with it, but other devices like Sony's (see below) are easier to work with.

4. Time to attach the GPS information to photos. I use a software called RoboGeo which is great. You open a bunch of images, and then you open the GPS log file (from step 3) and RoboGeo automatically matches the time your photo is taken to the GPS log file and can stamp the file with the GPS info. So the GPS information is embedded to the image file's EXIF info without changing anything else.
The only complaint I have about RoboGeo is that it doesn't support RAW files. It does however support TIF and JPG files, so I Geotag my 16bit TIF converted photos or the final web ready JPG files. When you upload the Geotagged JPG files to flickr, they automatically show up on the map. Very cool indeed!

4a. RoboGeo is poweful application, and one the fun things you can do with it is exporting a KMZ file with embedded images, so you see your photos show on Google Earth and other application and website (like www.gpsvisualizer.com)
Here's our trip when the photo above was taken.

Resources: There are other GPS Loggers out there too, like Sony's GPS-CS1. Here's a great comparison and review of the two products.