Have you tried GPicSync (http://code.google.com/p/gpicsync/)?
It looks very interesting:
GPicSync automatically inserts location in your photos metadata so they can also be used with any 'geocode aware' application like Picasa/Google Earth, Flickr, loc.alize.us, etc

You have some screenshots at http://code.google.com/p/gpicsync/wiki/ScreenShots

It looks very interesting, but very complicated. I'm not sure that it would be worth the work. :)

It looks a little complicate indeed. I know on the D200 it is possible to have directly the location within the EXIF information using a cable and a GPS but I think it is expensive. Still, it would be great to be able to know where the photo was exactly taken.

It certainly would be very nice to have the GPS info in the EXIF info. It would certainly be very useful when you take thousands of photos like you do. :)