There are several symbols that are widely used to denote that intellectual property is protected.
Circle with a C in it © Wikipedia
Circle with a P in it ? Wikipedia
Circle with an R in it ® Wikipedia
Superscript TM ™ Wikipedia
This site talks about where to find these symbols in type libraries. When this was discussed on Facebook, Anthony Kuzub suggested this commercial site (they may only allow use if you are having them manufacture discs, please read their license).
For those making CDs, which is all that I have researched, the circle C and circle P are the most important.
The circle C applies to the liner notes and the music and lyrics for each work. The circle P applies to the actual sound recording. A different version (even by you) of the recording is a separate phonogram copyright.
The license to record and release a copyrighted work is called a “mechanical license”. After the first recording of the piece, that is compulsory and must be granted for payment of a statutory fee.
Trademark and Registered Trademark (superscript TM and circle R, respectively) are a different part of the law and protects things like Coke® and Kleenex®.
Music in video is licensed through synchronization or “sync” licenses. See this page. Videos appear to use the circle C as opposed to the circle P.
Photographs and books use circle C.
In many jurisdictions, the copyright in a creative work exists from the time of creation. Registration of the copyright helps obtain greater damages for infringement and assists in establishing a date of creation and authorship, but is not necessary for the basic copyright. This is different in trademark law, the circle R implies/requires registration.
There is much complex law surrounding these concepts and if you have any questions it is best to consult an attorney practicing in this field. This has only been provided for general information to the generally curious. I cannot warrant the accuracy of any of the links. They appeared correct to my limited knowledge at the time of linking.