I do these all the time.
The easiest way (as a link already showed) doing a [text] watermark:
1. Type your text in black
2. Make a bevel or emboss of the layer, adjust depth and light as you wish
3. Choose "exclusion" for the blending mode (other modes work too)
If not doing text, just follow the same steps after you create your graphic in black.
Place the watermark in a busy area so someone who is familiar with the clone stamp tool will have a hard time getting rid of the watermark.
The one below would not be a good example, because it would be very easy to get rid of the watermark.
Below would be a great example. Even I would not attempt to steal a pic like this. It would be extremely difficult/time consuming to get rid of the watermark.