Updated April 2012.
This is a general method that works in all graphics programs but for this example, we'll be using Gimp.
Step 1. Select The Text Tool
Open your image in your graphics program and select the Text tool. Set the colour of the text to white and the size and font to anything you like. Now you are ready to add the text.
Step 2. Add Your Text
Click in your image where you want your text to start. In GIMP check the box in the bottom left that says Use Selected Font, most programs don't require this type of confirmation however.
To add a Copyright sign in Windows we need to open the Start Menu, Accessories, System Tools, Character Map, or if you have Vista or Windows 7, just type Character Map in the search bar and you'll find it straight away. Once the character map is open change the font in the top bar to the one you are using in your image editing program and then a few rows down in the main area of the window you should find the Copyright symbol. Left click it and it should enlarge then press Select and it will appear in the bottom text bar, then press Copy to place it on your clipboard.
Step 3. Paste Copyright Symbol In
Return to your image and the text box you opened. Then press Control and V to paste in your Copyright symbol. Type your choice of words afterwards and click OK/Close to insert your text.
Step 4. Change The Text Size
Press Shift and T to activate the transform tool and drag your writing to the size you want it to be. Just click and drag the anchor points to adjust the size of your text.
Step 5. Adjust The Look Of The Text
Now open Filters, Distorts, Emboss and change the settings so that it appears as you'd like it to. The options in GIMP dictate the direction of the light source; Azimuth is the direction from which the light is illuminating the words, Elevation is the height of the light source around the text (imagine the sun in the sky as a rough analogy for these two controls) and the Depth determines the size and intensity of the shadows created.
Step 6. Reduce Opacity Of The Text
Now that you have embossed your image you can reduce the opacity until the writing no longer distracts from the image too much but at the same time still remains visible. You do this by pulling the slider to the left in the Layer window. The setting required, as well as the positioning of the writing will depend on each image but the method is the same every time.
Image with watermark: