The Difference between TM and (R)
PencilSharp's usual legal disclaimer: I am not a lawyer, nor do I play one online. Do NOT view this answer as a binding legal opinion!
Okay, first thing you need to know is that there are two types of copyright (it's a closely related intellectual property issue, trust me). COPYRIGHT is what you get when you create something. It is innate in your creative act. Should your creation be *published* or otherwise made available to the public, your copyright becomes *much* easier to enforce. In essence, it becomes a SUPERCOPYRIGHT (not a legal term...) because you now have proof of when you created it.
A TRADEMARK, in the same way, is a *symbol* or typeface or phrase or etc. that distinguishes your service/creation/product from everyone else. Look at the WikiAnswers logo at the top of this page to see a TM (trademark).
A REGISTERED trademark, on the other hand, has been registered with the US Patent and Trademark Office, and a fee has been paid to the USPTO to boot. Now, you have a SUPER trademark that you now get to mark with a capital R inside a circle (R).
Basically, you do not HAVE to register your trademark to have a trademark. You SHOULD do so if you are worried about somebody swiping your design as their own, as registered trademarks have the full strength of the US Government to help enforce it.