It seems to me that one that connects to your camera would make a lot more sense than having to import that data into your photos after the fact. I guess timestamps would help out a lot, possibly automating the process, but still, extra work.

This thread lists some products. (Not all of them are in the original post.) This seems like the coolest thing to me: Foolography Unleashed, which is a tiny Bluetooth receiver that attaches directly to the camera, allowing you to use any Bluetooth GPS source. It's a little pricey, though, and you still have to have a separate GPS receiver. But it seems to me like the best of both worlds. You don't have to worry about acquisition time or running your camera battery down, and you don't have to worry about extra import steps.