how easy is it for someone to sign their address though? You can't do that on blockchain.info or anything like that can you?
Is there a good site to do that, or do you mostly sign stuff if you have a desktop client wallet. There's no way for me to do it for them cus I'd need their private key.
Same as signing a transaction to sent bitcoins. Instead of signing a transaction message you sign any arbitrary message. Any client has an option to do that I think. Look for sign a message option.