Vignettes are nice because they draw your eye naturally to the center of the image. The biggest thing to remember with vignettes is that they can be easily overdone. A little goes a long way. Here's how I do them in Photoshop:
1. Do all edits on your image you want done. Vignetting comes last. For the image in this post, I did some minor rotating and cropping, and added a very subtle texture.
2. Make a new layer. Name it "Vignette."
3. Fill the Vignette layer with white.
4. Set the Vignette layer's blending style to "Multiply."
5. Use the elliptical marquee tool to select the area you want vignetted. I usually start dragging from one corner to the opposite to insure I get a symmetrical selection, then Select>Modify>Expand as desired.
6. Invert the selection.
7. Fill the new selection with black.
8. Filter>Gaussian Blur. I use 250 pixels (maximum).
9. Dial down the Opacity of the Vignette layer. I used 50%.
10. Flatten your image. Voila!
click to enlarge, or see it on Flickr
Let's see it: post links to your well-vignetted images in the comments.