As already suggested, you can annotate the different parts of the figure using TikZ. However, sometimes it might even better to use numbers to reference the different parts and explain them in the figure caption.
To easily get the precise relative positions (which is often quite tedious) and to generate LaTeX code automatically for such example as shown below, you could use the new web-based LaTeX Overlay Generator, which I built for such cases. This is just a small interactive tool, which helps you to find the right locations without using a manual grid-based approach.

LaTeX Code
In the following the source code of a minimal working example generated by the LaTeX Overlay Generator.
\documentclass{article}
% remove "[demo]" if you want include actual image!!!
\usepackage[demo]{graphicx}
\usepackage{tikz}
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% LaTeX Overlay Generator - Annotated Figures v0.0.1
% Created with http://ff.cx/latex-overlay-generator/
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%\annotatedFigureBoxCustom{bottom-left}{top-right}{label}{label-position}{box-color}{label-color}{border-color}{text-color}
\newcommand*\annotatedFigureBoxCustom[8]{\draw[#5,thick,rounded corners] (#1) rectangle (#2);\node at (#4) [fill=#6,thick,shape=circle,draw=#7,inner sep=2pt,font=\sffamily,text=#8] {\textbf{#3}};}
%\annotatedFigureBox{bottom-left}{top-right}{label}{label-position}
\newcommand*\annotatedFigureBox[4]{\annotatedFigureBoxCustom{#1}{#2}{#3}{#4}{white}{white}{black}{black}}
\newcommand*\annotatedFigureText[4]{\node[draw=none, anchor=south west, text=#2, inner sep=0, text width=#3\linewidth,font=\sffamily] at (#1){#4};}
\newenvironment {annotatedFigure}[1]{\centering\begin{tikzpicture}
\node[anchor=south west,inner sep=0] (image) at (0,0) { #1};\begin{scope}[x={(image.south east)},y={(image.north west)}]}{\end{scope}\end{tikzpicture}}
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
\begin{document}
\begin{figure}[h!t]
\begin{annotatedFigure}
{\includegraphics[width=1.0\linewidth]{black-demo.png}}
\annotatedFigureBox{0.084,0.614}{0.394,0.804}{A}{0.084,0.614}%bl
\annotatedFigureBox{0.222,0.284}{0.3743,0.4934}{B}{0.3743,0.4934}%tr
\annotatedFigureBox{0.555,0.784}{0.6815,0.874}{C}{0.555,0.784}%bl
\annotatedFigureBox{0.557,0.322}{0.8985,0.5269}{D}{0.8985,0.5269}%tr
\end{annotatedFigure}
\caption{\textbf{Lorum Ipsum Overview} -- Lorem ipsum dolor amet (A), consetetur (B) elitr, sed diam (C) nonumy eirmod invidunt ut labore (D).}
\label{fig:teaser}
\end{figure}
\end{document}