I've thought about this line of inquiry as well many times, since this is often one of the most requested features on my gallery systems.
To a certain extent, the default XFMG actually offers something that more or less accomplishes the same thing: the "Watched Media" option, which aggregates the media items that a member wants to follow. It's a rather dry name; most people would warm up to it much more if it was called "bookmarks" or "favorites."
The concept of "bookmarks", however, can be taken much further and I think that was the point of the original poster. A bookmark or favorites add-on would enable members to create their own virtual albums of their most cherished photos, download the album, share the album, etc. As you can tell, there are quite a few functions that can be built into a full-fledged bookmarks system, and I think it would be best left to the marketplace.