The one danger of posting your photographs online, be it Facebook, Twitter, or elsewhere, is the risk you run of having your pics hijacked. Watermarks are one way to help deter unauthorized use of your photos. The Windows Phone app, "Watermark" brings watermarking to photos captured and stored in your Pictures Hub and may just keep the pirates at bay.
The user interface is simple and straight forward. Choose your image, type your text and it's inserted on the photo. You can choose fonts, text colors, text size, and opacity. Positioning of your watermark is probably the weakest aspect of the app. You can tap on your photo to move the watermark around but this feature isn't the most responsive.
Watermark can be a useful tool to help tag your photos or even add captions. Watermark is a free app that you can find here (opens Zune) at the Marketplace.