My favorite and easiest method is in Lightroom, but Helen Bradley (Project Woman) explains for both LR and PS. http://www.projectwoman.com/2009/08/how-do-you-vignette.html
(In CS4) I draw rectangular marquee about 1-1.5" away from each edge, CTRL+I to invert it, then Refine Edge with a feather of about 250 px. Then I hit CTRL+J to copy the selection to a new layer, change the blend mode to multiply and tinker with the opacity. Sometimes if it's a portrait I'll use the ellipse marquee and get closer to my subject, then do the same steps.