To precise a bit this answer: go to http://www.ensembl.org/biomart/martview/, select EnsemblGene80 and your organism.Go to the Attributes panel, and select Features. In the GENE submenu, select the Ensembl Gene ID, Associated Gene Name. In the EXTERNAL/External References submenu, select EntrezGene ID and EMBL (Genbank) ID.
Download the results (no need for filters, export as TSV for ease of use), and do a join using the EMBL ID column as key. I used Ensembl IDs here, but you get the idea: grab a conversion table, and use it to join your genomic data to a useable ID using the Genbank ID.
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