since nobody else hasn't answered yet, I do. I think the tags in Facebook - as far as I understand them - are not included in the images but stored separately. To store them in the file requires certain features from the file format and I'm not sure if a JPEG file format, for example, can hold such data. However, it does store some data.
Perhaps I misunderstood you. Could you elaborate a little what kind of information you would like to tag?
"Tagging" an image is not very clear. You can add a caption, keywords and values pairs, or there are various software products like Picassa or Nikonians Annotate that can select and area of an image and add associate a comment with that section. Picassa can even search for faces and add name to the faces.I do not know if the area marking and comments marking techniques are unique among products.