I will tell you quickly how to in Sony Vegas but I do plan on doing a proper video tutorial this week some time.
Design your watermark in Photoshop, save as PNG with a white background, drag the image onto a new video track in Vegas, click on track motion in your track settings to the left and move the logo into position and drag it out across the length of the track. Click on the clip and drag the opacity down or up, I cant remember which way it is and it is blue I believe and that should look good.
Okay a slight change here, when adjusting the opacity you dont need to do what I said above. On the left you will see level 100%, adjust the slider for the opacity and also hover the clip on the timeline and click Event Pan/Crop and click and drag the top right handle up and away rather than inwards to make it smaller and use the track motion to position it. Make sure to not have anything else on this track too. If you need a new track right click the track settings box on the left where track motion etc is and then insert a new video track for it. That works in Vegas Pro 10.
I have my logo in all of my video's, except for let's plays.
I also had the url to my channel in them, but I don't really like how that looks.
I watermark just like Micheal posted, except I use a transparent background with the .png. I also make it a 1280 x 720 picture, so I only have to drag it into the video timeline, and the positioning will be whatever I did in photoshop.
However, I work with Premiere Pro, I don't know if everything I do also works in Vegas.