A great deal depends on the colour of the image or text used as the watermark.
As an example I used this image as a watermark -

(The original is a PSPIMAGE file with black, white and assorted grey objects on a transparent background).
When I apply this to an image, with Opacity = 50 and Emboss = 50, I get this -

Two things are apparent -
1. Black objects don't emboss at all.
2. The background doesn't show much through black or white images.
So it seems that the best colour for the source image is mid-grey.
The embossing effect works by applying a darker shade to the bottom right and a lighter shade to the top left. You can see this on the white square, which has a shaded bottom right, but no top left highlight. Perfectly reasonable in one way because there is nothing lighter than white to use there. The black object understandably has no shadow side, but strangely has no highlight either. Seems to be a bug.
It's not so reasonable in another way that white objects have no highlights and black objects have no shadows, because the objects are at 50% opacity. There is nothing lighter than white, but there are shades lighter than blend of the background and 50% opacity white; unless the background is white. Similarly with black. There will be shades darker than 50% black, unless the background is black.