As per request, here is a quick vignette tutorial.

Step 1: Duplicate your background layer. A quick and easy way of doing this is by pressing CTRL + J (Command + J on a Mac).

Step 2: Set the Blend Mode of the duplicated layer to Multiply.

Step 3: Select the Rectangular Marquee Tool and draw a selection about a quarter of an inch from the edges all the way around.

Step 4: Now go to Select and choose Refine Edge. In the Refine Edge dialogue box choose your preview method (just above description). I recommend the standard setting (highlighted in red) for those of you who are new to the Refine Edge dialogue box. This will show you exactly how your selection will appear. Make sure every slider except the Feather slider is set to 0. Next, adjust the Feather slider "to taste" until you have some nice rounded corners. Click OK.

Step 5: Press Backspace (Delete on a Mac) and then CTRL + D (Command + D) to deselect. You should now have a nice feathered edge around your image.

Step 6 (optional): If your vignette is not as dark as you would like, press CTRL + J to duplicate the layer. Since your original vignette layer was set to Multiply, all duplicate layers will be set to Multiply as well. Do this until your vignette is dark enough. You can also adjust the duplicate layers Opacity to fine tune the density of your vignette even further. Flatten image and Presto! You have yourself some vignetted edges!