Well, for one was skeptical. Topical caffeine via soap? Sorry, not sold. I looked it up on the internet using google, and after subtracting "shower shock" (the brand name offered by think geek) and "think geek" (since it seemed every site only cited think geek), I managed to find... a couple dozen blogs* citing think geek. Grr. Google, if I didn't love you I would hate you. Anyway, I managed to actually find some information (pre- Shower Shock at think geek mind you) at halfbakery.
According to WebMD, topically-applied caffeine may help prevent skin cancer. Not only does one get a buzz typically associated with caffeine, but also electromagnetic radiation of the ultraviolet persuasion has less effect on you (essentially)!
Halfbakery also had other interesting information. For example, caffeinated cereal ("Hey, kids! Tell your mom that *you* want Chocolate Frosted Sugar Bombs, now with CAFFEINE!!!" - Absterge) and caffeinated toothpaste. Theoretically (as mentioned by another halfbaker) it would be possible to have other drugs topically applied as well (someone suggested Viagra soap).
Anecdotal evidence (besides think geek) from around the 'Net seems to point to caffeinated soap in fact working. Well. I for one intend to order some (it isn't shockingly expensive), and I will be sure to report the results...
Sources:
WebMD (Website) (http://my.webmd.com/content/article/1728.76535)
Halfbakery (Website) (http://halfbakery.com)
Think Geek (Website) (http://thinkgeek.com)
* it seems to be a new blog phenomenon. Who looks up world news on someone's personal blog anyway?
Sorry, Crimson, I had to downvote you, as you took the quote practically verbatim from think geek. You seemed to have a steady stream of upvotes anyway...