I have been asked this question several times, so I have decided to post my vignette method. I sometimes use an action from Vibe Resources called Vignette My Way. Ren also has one called Vignette Your Way that is great. If you want a quick and easy method you can even do in Elements, here's one method. You can click on the photos to make them easier to read.
Open your image. and select the oval marquee tool. Drag the marquee to the size and location you want it to be. At the top where it says Feather, put in about 75. For a lighter, less dense vignette you can go up to about 150. For a more opaque vignette, lower the number.
Right click on your mouse and choose "Select Inverse" from the menu.
Select Solid Color
Click on the color palette to select the color you want your vignette to be.
I like this method because it is so easy to customize. You can adjust the opacity and select any color you want. You can even use the color picker tool to select a color from your photo for a perfect match. You can also use the eraser tool to erase back in any areas you don't want covered by the vignette. Have fun playing!