Let us make "bookmarks" on the map, and put NAME TAGS on them. 
Make them permanent. In Just Cause 2, I frequently find cool shit that I want to remember, 
or come back to later, but you can only put one mark on the map at a time.
Same with GTA IV, Burnout, Fallout 3, Oblivion, etc.
Do you guys agree?

Yep, definitely.  Sometimes I get a map of the game online and use MSpaint to mark cool areas.

Yes, absolutely. I can't tell you how many times I searced for that strip club in GTA:SA after forgetting where it was.

Yeah that's a good idea. As much as I hate Rockstar Leeds' writing, they made some great improvements to the GTA style that haven't made it into the full Rockstar North productions. GTA:CW had a multi-bookmark system similar to what you mention (just not able to be labeled). And GTA:VCS had a better way to catalog what you had accomplished and marked found or completed packages/stunt jumps/etc on the map.