Update: The instructions below may be unnecessarily complex. I have since found an easier way to do this.

Duplicate your image. Set the feathering for 30 pixels for your selection tool. Make a select far enough away from your image so that the clearing in the feathered area does not remove any important detail. Make your selection and go to select/invert. Turn off your background layer. Edit/clear.
That's it.

If you want to retain some information in the selected area use Image/Adjust/Levels to lighten it but don't turn off the background layer.
(Old info follows)
This is a super-easy technique.
1. Open your image.
2. Pull down the layers pallet tab at the right of the screen so that it stays open.
3. Left click on background layer and drag it to the new layer icon to make a duplicate
4. Right click on the top left icon on the tools bar and change the rectangular selection to an elliptical selection.
5. Move your cursor to the top left of your subject and left click, holding down the mouse button as you drag diagonally to draw a circle or ellipe around your subject. Keep the mouse button pressed in. If you want to move the selection left or right up or down hold down the space bar as you drag. Let go of the space bar if you want to change the shape. When you are satisfied let go of the mouse and space bar.
6. Enter the number 70 in the feather box up on the Tool Options Bar.
7. Click on the "Effects" tab at the right of the screen. Scroll down in the thumbnails until the fourth row from the bottom. Click on the Vignette icon on the right.
8. Click on "Apply" (top of the Effects Palette)
That's it!
Change the amount of fuzziness of the vignette edge with the number of pixels you enter in the feather box.
Instead of an elliptical or rectangular marquee try hand drawing a selection with the lasso.
Note: If you do not do this process on a duplicate layer you will not get the nice soft edge on your vignette.

How to Make an Easy Vignette in Photoshop

1. Open your Image
2. Show the layers palette (F7)
3. Drag the layer down to the New Layer icon to make a duplicate layer
4. Make the background layer active by clicking on it.
5. Click on the New Layer icon to put a blank layer above the background
6. Make sure your foreground color is white.
7. Click on Background Layer and holding down left mouse button drag to garbage can in Layers Palette to delete it.
8. Click on the flood fill icon and click on blank layer to fill it with white
9. Click on the top layer to make it active.
10. Draw a selection around your subject using selection boxes or freehand with the Magic Wand. Click on Select>Inverse to invert it.
11. Click on Select>Feather and enter 40 (or however many pixels you want to soften at the edge)
12. Make sure BACKGROUND color is now white. (Click on black/white icon for colors and the two-pointed curved arrow to exchange colors)
13. Click on Edit>Clear
That's it!