You can enter a single location for an entire album or place each photo from an album to a map using drag and drop. The desktop client can also geolocate photos using Google Earth.
The most impressive is the combination between a map and a slideshow. If you select a photo and click on "play", the photos will move on the map according to their locations.
Google has recently acquired Panoramio, a photo sharing site that let you link photos with the place they were taken. Hopefully Picasa Web will add a way to search for public photos by location and include Panoramio's main functionality.
Picasa Web should've launched a mobile version of the site, but, as usually, the feature is not available even after it was publicly announced. "With Picasa Web Albums for mobile devices, your favorite pictures are always with you. So next time you're at a loss for words when describing just how awesome, cute, or beautiful something really was, just grab your phone for visual backup. Of course, the mobile version of Picasa Web Albums lets you keep track of photo updates from friends and family, too. Just click 'My Favorites' from the main screen to see the latest photo albums that your contacts have posted to Picasa Web Albums -- you can even post a quick comment on their photos, using your phone. Thumbnails and photos are automatically re-sized for your device's screen, so pictures look good and download fast." The mobile site should be available at http://www.google.com/mobile/photos/.
Update: You can find the mobile Picasa Web Albums at http://picasaweb.google.com/m.