I think the most important thing is to not get too caught up in different effects that get in the way or take away from the wallpaper, or make it overcomplicated. Some of my favorite wallpapers are simpler ones that really focus on the player and not all the effects. Some effects are nice, but they should be kind of subtle and not play as big a role in the graphic as the picture and text. For example that sig compettion a few of us participated in a while back. Some of the people were so caught up with all the extra effects that they would vote for one that may have taken more skill and knowledge, but in the end, to my eye, the simpler one looked better, especially with such a small amount of space. Thats just my 2 cents. If you're looking for some good tutorials.
http://www.spoono.com
http://photoshopcafe.com
http://www.planetphotoshop.com/
Theres also a really good video podcast called Pixel Perfect:
http://revision3.com/pixelperfect
and Photoshop Killer Tips
http://www.photoshopkillertips.com/
I think the most important thing, or the way I've learned the most is just playing around in photoshop. Trying out different filters and saying what they do. Hope this helps and good luck.