It's Picasa silly! And all you have to do is download it or if you already have it then upgrade your Picasa to version 3 and then check out the text tool. To watermark your pictures, you just click on the text button and start typing. Use any font on your computer, choose different colors (including from your picture), change the transparency of the text, rotate it and scale it larger/smaller.
Another bonus is you can then copy it, select all the photos you want a watermark in the library, and paste it to all of them.
And bestest of all, Picasa is FREE! Click HERE to download it and give it a try yourself and don't worry, you can't mess up your pictures because Picasa doesn't alter your originals.
Oh, one more thing: there is an option to add a watermark to all your photos when you upload and/or export them. However, it is small, black, and in standard google font, so using the test button is just cooler.