While tags and captions are great, they are often saved in a proprietary format in your photo software, meaning that they won't easily carry from one program to the next. I learned that the hard way after my Adobe Photoshop Album catalog was lost after a hard drive crash a few years ago. I didn't lose any of the photos, but because I lost the catalog file created in that program, I did lose all of the hours and hours of work I had spent labeling photos. To ensure that your hard work spent labeling photos will pay off, it is important to use a method that will be fully supported by various programs in the future. This is where IPTC (which stands for International Press Telecommunications Council) steps in. This metadata standard allows you to embed information - photographer name, a caption, keywords, etc. - right into the digital photo file. This is similar to the EXIF data which is automatically created by your digital camera to preserve information about the camera model, the date the photo was shot, and your camera settings such as aperture, shutter speed, and whether the flash was used. IPTC is similar, except that you will need to manually add any IPTC information you want saved with the photo.
Some photo programs automatically store image captions that you enter as IPTC metadata, but many don't. If you use Adobe Photoshop Elements, for example, the tags and other information you add to your photos can be saved as IPTC metadata, but it will take you an extra step. Look for an option under the File Menu for "Write Keyword Tags and Properties Info to Photos." Alternatively, the IPTC info is automatically written to the files when you export them, when you edit them, or when you email them to someone directly from the Photoshop Elements software. Adobe uses an XMP (Extensible Metadata Platform) that fully incorporates the IPTC standard.
As JL points out in his JLog blog, IPTC generally only works consistently with files saved in the jpg or tiff format. Sometimes the IPTC metadata may even be stripped from those file types if you resize, edit or email them. To ensure your metadata is preserved with the photos, always make a copy of the photo for editing or email purposes and leave the original alone. And always take the time to make sure this data is being saved directly with your photos through IPTC, rather than relying solely on the tagging and caption options in your photo software.