I always used cut up mailing labels and a ballpoint pen...
Pretty much any sort of label or sticker you glue to the EPROM is going to be opaque to UV. Heck, even regular glass blocks it - the little window in the EPROM is made of quartz.
Any sort of printer would work if you're going to go all out and print labels. I'd suggest tossing the inkjet out of the nearest window and getting a laser printer, but then again, I'm a bit biased towards laser printers in general...
-Ian