For the Photoshop users! I use PS7, but I don't think things would change TOO much between versions. In any case, handy screencaps have been included of the menus, so at the very least you can find the most similar thing on your version and change the other settings if they're different (I can't remember if they're default for me or if they were put that way after the first time I did this border effect). Well, away we go.
1: Make a new thing to work with, whatever size you like (here I used the hyperguy.net border size). Make a new layer on it and name it Border. Choose the Polygonal Lasso tool and make a selection around the edges in whatever shape you want. Once you're done, right click on it and choose "Select Inverse", which will leave the middle open.
http://img.photobucket.com/albums/v503/Feist/TechBorder1.jpg2: Pick a color and fill in the selection. I'll pick green. Then, go to Layer->Layer Style->Blending Options, and set the following options up like so. I've included screenshots just in case my other options for these aren't default for you.
http://img.photobucket.com/albums/v503/Feist/TechBorder2.jpgChoose "Drop Shadow" and set the opacity for 85%.
http://img.photobucket.com/albums/v503/Feist/TechBorderDropShadow.jpgChoose "Inner Shadow" and set the opacity for 52%.
http://img.photobucket.com/albums/v503/Feist/TechBorderInnerShadow.jpgChoose "Outer Glow" and set the Opacity for 10%.
http://img.photobucket.com/albums/v503/Feist/TechBorderOuterGlow.jpgChoose "Inner Glow" and set the Opacity for 30%.
http://img.photobucket.com/albums/v503/Feist/TechBorderInnerGlow.jpgChoose "Bevel&Emboss" and set it for Inner Bevel.
http://img.photobucket.com/albums/v503/Feist/TechBorderBevelAndEmboss.jpgChoose "Satin" and set it at 30% opacity, with Distance 11px, and Size 14px.
http://img.photobucket.com/albums/v503/Feist/TechBorderSatin.jpgChoose "Color Overlay" and put Opacity at 100%. Experiment with the colors to find one that looks good for you.
http://img.photobucket.com/albums/v503/Feist/TechBorderColorOverlay.jpgChoose "Stroke" and set the Size to one 1, outside, at 100% opacity. Pick any color you like for the stroke.
http://img.photobucket.com/albums/v503/Feist/TechBorderStroke.jpg3: Finally, you can deselect the layer. Use the Marquee tool to draw a box or an ellipse and cut out little sections of the border's inner edge as it suits you. You don't even have to do this step if you don't want to.
http://img.photobucket.com/albums/v503/Feist/TechBorder3.jpg4: And done! You can add multiple borders to one banner, but be careful not to clutter it. Hope you found this useful.
http://img.photobucket.com/albums/v503/Feist/Example.jpg