Creating good icons isn't easy, but can be a lot of fun when you get the hang of it.
It requires a lot of practice and time to get your own method and style.
I use Microangelo [ http://www.impactsoft.com ] for the majority of my work, and then sometimes Icon Collector Graphics Editor [ http://www.greatowl.com ] or PhotoShop for any extra colour alterations and tweaking.
Generally stick to a certain style or theme, if your doing a 'set' or pack.
If you want to add an extra level of 3D'ness to them... make sure you get your lighting right, you generally want lighter colours in the top left, and darker colours and shadows in the bottom right, if your going for the 'traditional' 3d look that is.
Check out: [ http://w1.864.telia.com/~u86404543/cci/iconlinks.html ] for a massive list of great icon sites... have a good look around, get inspired and get pixel pushing.
There really aren't that many icon-making tutorials out there, but here are two of the main ones (for mac, but the concepts are the same):
[ http://www.tcp-ip.or.jp/~s-iga/tips/tips&tricks.html ]
[ http://www.iconfactory.com/howto_home.asp ]
They teach the basics... so you can take it from there and develop a style of your own.
If you want to get into the new funky XP icons... you might want to use PhotoShop for the majority of the work (using layers), and then import them into IconXP http://www.aha-soft.com/iconxp/ or GIF Movie Gear http://www.moviegear.com/foricons/index.htm to convert them into the XP icon's various sizes, and save them as .ico's.
Here are a couple of good tutorials for creating XP icons:
http://www.aha-soft.com/articons/faq/q5.htm
http://www.foood.net/icons/tutorialxp1.htm
http://www.moviegear.com/foricons/icontut.htm
http://msdn.microsoft.com/library/?url=/library/en-us/dnwxp/html/winxpicons.asp?frame=true
Good luck & I hope this helped. . .