Install compizconfig-settings-manager and start it up (a shortcut is to type ccsm). Click the Extras button on the left and choose Annotate, then click Enable annotate to activate it. If some of your panels mess up at this point, open a terminal and run "compiz --replace" to restart Compiz and fix them.
As will all Compiz features, annotate is very customisable and you can change key actions, colours and even how shapes behave. Try it out, it's easy to do!