Is there a way to embed/overlay timecode somewhere in the frame itself so that you can actually see it ticking away while you watch the clip?

Use a transparency layer above your time line and add the time code effect to that.

See http://livedocs.adobe.com/en_US/PremierePro/3.0/help.html?content=WS4AE872FF-BC0F-45e8-AD80-C2784D17CDFE.html.

Does PPro 2.0 have this Timecode effect and where do I find it?

In the effects panel type in: tim
and you will see it under Video.

An alternative is After Affects. its effects>time>timcode i think, not on my AE computer.

just for future reference :)

Thank you, gentlemen. I will give it a try.