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Are you talking about the black around the edges? If so it is pretty easy:

Add a new layer on top of your image
Fill with black
Grab your selection tool and make an eliptical selection.
Go to>>Selection Feather (in this step you will need to experiment to get the look of how much you want)
Once you are happy with the amount of feathering your next step is to:
then hit the delete button and you are set.

If you are talking about some of the fade on the text that can be achieved by setting your foreground color to the color of the background and painting over the text with a "grunge" style brush.

Hope this helps.
 
text effect

another way to accomplish the faded text effect is to add a layer mask to your text layer. Then proceed to paint on the layer mask with a grungy brush and a low opacity.

If you need some photoshop brushes just type it into google.
 
Layer Masking is the way to go, how it's been explained is a way to do it. This effect is from photography and is called 'Vignette', which is actually an undesirable lens quality in the actual lens, but used quite often for effect. I know I do!
 
Everyone is right. Grunge brushes are the way to go. Sometimes if you're looking for a different type of distressed look, find a picture of a rock or a piece of coral you like the texture of. with that photo define you brush preset. just a way to get something different.
 
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