MCA8690

I have heard about devices that record the GPS coordinates of your location whenever you take a photo, and notice that the "info" for each of my photos has blank spaces for this information.
I would like to know more about doing this (getting a GPS data-logger and using it), and wanted to know a couple things:
Are they camera or memory-card specific? Both?
Do they just decimate batteries, or only during really high-use?
Price? Availability? Recommended brands?

thanks everyone : )
michael