its called a vignette. In photoshop you can either go to filters> distort> lens correction, and add a vignette that way, or this is how I do it.
select the lasso tool. set feather to something like 175 pixels. draw a rough rectangle with rounded corners (or any other shape you want) around 5-10% in from the picture frame. select inverse. adjust levels to make selection darker. This way you can give it a custom vignette instead of just darkening the corners.