Also, iirc, should you decide to upload to Flickr (for one), there is an option to remove Exif. I do not recall the default setting but we commonly see Flickr hosted images sans Exif.
...thanks, Guys - but I must have done still something wrong - it did not work Maybe the fact that I am working out of a trial version of CS4 has something to do with it.
Believe it or not I couldn't use save as because it did not show jpg in the drop down menu. So back to save for the web which had a nice button which said: save all the metadata and I did click that - all seemed well but for the fact when I uploaded to this site and clicked the little square box, (thanks Guys ) .... alas no data...
I am sure in the end it will all come out in the wash