Using the image in the background style of a div with a span (#cover) overlaying a trans gif on top.
Same as method #1 but with all the styles in the sheet, not inline.
Using a real image tag, but with a span to cover it. (I used the same code to do the fade overlays on the 'top' page images on my church site.)
Same as method #2 but with some add-ons! There's a span for a copyright/watermark, which being text is easy to change (and can be styled). There's also a 'real' image hidden by css but is there for people with css turned off!
If someone wants your images, they'll get them! None of these will stop someone who can read code/css or has firebug, but they might help to stop the 'casual' stealer.
#4 is probably the niftiest, but it's also the most complicated!