There is a REALLY easy way to do that in Photoshop
Make a new layer and put your text on it (I use white text).
Go to the layer styles, and either emboss or bevel the text to give it a 3d format (I like the way emboss looks personally).
Now go to the top of the layer styles choices, click on Blending Options: Custom. Under Advanced Blending chane the Fill Opacity from 100 to 0%.
Tada! Watermarks
- Noel