Share photo with caption on Facebook
I'm using Android 2.1 and the latest official Facebook App.

I go to the gallery and long-press on an image. In the menu, select SHARE and in the list of apps displayed choose FACEBOOK.

I immediately am taken to a text field where I can type in a caption.

by default the images are sent to the MOBILE UPLOADS folder/album, but you can create a new album and specify that as your desired upload location.