As mentioned, there is no onboard watermarking tool in Lightroom 2 but there are a couple of options;
From the print module you can put a graphical watermark onto photos and then print the file as a JPEG - this isn't an ideal solution and worked for me for a while whilst I looked at other options.
From the slideshow module, you can do the same as print and export as a file and then extract the jpegs - again not ideal.
The best option for LR2 users is LR Mogrify (
http://www.photographers-toolbox.com/products/lr2mogrify.php). This allows you to not only add watermarks to images but alter the opacity, add inner and outer borders and text lines including EXIF data, images names and web addresses.
Mogrify is available for free if processing under 10 images at a time but it is a great piece of software and I would suggest you give a donation (I just gave £5 as I am tight) and get the unlimited license.
The final option, although one I wouldn't suggest at the moment, is Lightroom 3 Beta which is available for free on a trial basis, probably for the next 6 months. The catalogues will not work with Lightroom 2 so they're suggesting using LR2 as a main image processing tool and simply testing LR3.
Hope this helps, something that really helped me was Lightroom Killer Tips (
http://www.lightroomkillertips.com/) and their video podcast which goes through a lot of the tips and techniques.
DB