I use Photo Mechanic and have Stationary to include that information. Another choice is if you have a Mac, you can use Applescript or Javascript, or on a PC Javascript or whataever that lame :-D programming environment is (VBA) to add it. There's some kind of new Javascript environment with Photoshop CS2, but I haven't checked that out yet. (You can download a free 30 day demo from Adobe, wouldn't know know I did, and it arrived the next day!)
Also Adobe Bridge seems very fast in adding metadata to even RAW images. I'm going to have to explore that some.
And speaking of Macs, if you have OS X 10.4 Tiger, there is already an automator action out that can add information to the IPTC fields in a photo - although he hasn't added the "Caption" field yet, but he will with the next iteration. You can get it from:
http://www.automatorworld.com