Since I don't have a GPS yet, I haven't used such a software. However, I read an article about it in the German magazine c't. It mentions Photomapper, locr GPS Photo and GeoSetter for Windows and GPSPhotoLinker for Mac OS. It doesn't mention any Linux software, though. A quick google revealed the following possible Linux programs that might do the job: GPSBabel, GPX2Exif and gpsPhoto.