EDIT: Please click Download for full resolution.
I did this once as commission samples, but they might as well be a walkthrough to how I shade art for anybody who is interested. The process is actually really simple - after the flat colors have been applied, I make at least two layers of shadows. One layer will make out the 'sharper', darker shadows. The second layer will be a soft shading layer, made with a large, soft photoshop brush. You can make endless layers of shadows this way until you've reached the desired effect, and tint them with different colors if you feel super adventurous! xD