you can also see the location when using the gallery on your phone to browse the pics. A number of photo management apps (and even sharing sites) allow this functionality, as geo-tagging is, as far as I know, standardized.
Keep in mind that when you snap a pic, the longer the camera app is up the better GPS fix you will get. If you open the camera app and snap right away it may only get the right general area/city. Leave it a little longer and it will record the exact location. There is an icon that shows on the display but I cant recall if it flashes when it acquires or how that works.
Even if you only get the general area saved its still useful for multi-city vacations (cruises for example) and other situations. The new gallery app also allows grouping by the area in which the photos were taken.