It was reported on the Controlled Vocabulary forum
last fall, that there were issues with GPS data being lost when saving files in the TIFF format using any version of Photoshop. Fortunately, this issue is only with the TIFF file format, and does not affect files being saved in the PSD or JPEG formats (saving TIFF files from Lightroom does not suffer from this same issue.
Just recently, David Franzen posted some scripts that can be used with Adobe Bridge to automate the copying of GPS data from PSD files so that it does appear properly in TIFF files. See the the full blog post titled, "Copy GPS Metadata Back into Photoshop TIFFs with Bridge Scripting"
on the Adobe site for details.
This should be something that is corrected by the time that Photoshop CS5 ships. However, these scripting options are needed for all of those still using CS4 or earlier versions of Photoshop.