OK - after failing badly with the Lightroom export with watermark using the slideshow method, here's a way that actually works really well. This is for Lightroom 2 and above only.
Firstly, you need ImageMagick installed. This is a command line image manipulation application, but dont worry about that at the moment.
Here's the download link.
Secondly, you need Timothy Armes's LR2/Mogrify Lightroom plugin. This puts a nice Lightroom-style interface onto the ImageMagick application. What this means is that a number of the common ImageMagick commands, like watermarking, text overlays, borders, are available in the Lightroom export dialogue box just like they were original Lightroom features. Cool!
Here's the download link.
So, once you've installed ImageMagick on your PC, install the LR2/Mogrify plugin into Lightroom. When that's done, you'll see some new options at the bottom left of your LR export dialogue. Tell LR where the ImageMagick app is installed on your PC and you're sorted.
It took me about 15 mins to install, configure, and export my first watermarked bordered pic. And, being a part of LR, you can still export to Smugmug, Flickr etc as usual, but with watermarking, borders, text overlays etc etc.
I'm very happy. I've been after something like this for ages. Here's my first watermarked bordered image exported to Smugmug. Rejoice!
[imglink]http://tobers.smugmug.com/photos/446169561_Bi7ka-M.jpg[/imglink]
By the way, I made the watermark in Photoshop using white text on a transparent background, with the opacity set at 30%. ImageMagick can read PSD files directly.
Happy new year!
Tobers