This tutorial was originally posted on stykz.net. I have since placed it in a few other places.
Without further ado, here it is:
The video form of the tutorial. Before you ask, yes it is slightly different than the written version.
This is the end result:

To begin, we will create a 100×100 image (Avatar size) But your image can be any size you would like Picture
Now zoom in to 400% by clicking the little menu on the bottom (Or any other zoom that suites you)
For the sake of ease, I will be doing a simple red sphere, but you can make whatever shape you want. Create a new layer over the background and name it “Sphere” Picture
Next select the circle select tool and drag a circular selection where your sphere will be. Leave sufficient room underneath for the dropshadow. Picture
Select the bucket fill tool and choose a good color (Gradients work too but are more advanced and require the gradient tool instead of the bucket fill tool) I chose a red to dark red gradient. Fill the selection with your color. Picture
Click Select>Grow from the menubar and choose about 2-4 pixels. Fill the resulting selection in with black on a new layer named “Sphere Outline 1″ and move it’s layer below the original layer Picture
Create another new layer on the bottom (Above the background) and name this one “Sphere Outline 2″. Click Select>Grow And grow it by about the same amount as the last, but it can be higher. This time though, you will use a dark grey to black gradient. Stroke from top to bottom. Picture
Right click the “Sphere” layer and choose Alpha to selection and click the circle select tool again and choose the intersect mode. On a new layer above everything else, named “Gloss”, fill the selection in with a white to transparency gradient and adjust the opacity of the layer to about 90% Picture
On a final layer below the rest named “Shadow”, use the circle select tool again (set to replace not intersect) to choose a fitting shadow area. Select what looks good and choose a darker grey color. Fill in the selection and click Filters>Blur>Gaussian Blur and choose somewhere from 5 to 15 pixels depending on what looks good. click ok, adjust the positioning of the shadow to fit better and viola! You can optionally delete the background layer for a cool effect when used anywhere. Picture