I've thought a lot about whether or not to watermark all of my work. I don't want anyone using my work without my permission. I've had pieces stolen and sold on ebay, used as sparkly signatures or used on websites. I've also seen my work collected by people who just put together images they like. There weren't intending on stealing anything, there were just trying to show others what they've found. I tell anyone who commissions me that the art I produce is for them alone and they can do whatever they want with it. That means I don't give or sell the work to anyone else so if they see something done by me for them somewhere other than my website or deviantart gallery, it wasn't me who put it there.
But I work hard on what I produce and I don't want to whack a big © symbol right on top of everything. It detracts from the artwork. Plus I've read and been told that art directors like to keep samples of art they find and they can't do that if I embed everything.
So this time around I've decided to leave the watermarks off. I've labeled any commissioned work as just that. I think anything, art or text, is in danger of being stolen or copied as soon as you put in online. I'll just have to keep risking it like so many others in order to show my work.