Create a new 250 x188 @ 72 dpi graphic and type the letter 'O' in 225 point Arial Black. Make sure that your foreground color is set to 50% Grey.
Use the rectangular marquee tool to make several horizontal selections accross the letter, varying the sizes. Choose Select>Feather and set the amount at 5. Then choose Image>Adjustments>Levels and increase the black output slider to 64. With you keyboard arrows, move the selection boxes down 8 pixels and select Images>Adjustments>Invert. Your "O" should look something like this.
Now go to Layer>Layer Style>Bevel and Emboss and use the default settings there to give some depth to your image. Create a blank layer underneath your object layer and merge the object layer down on top of it. This fuses the bevel effect to the object layer.
Here is where the magic happens. Select Image>Adjustments>Curves and create a curve similar to the one shown above. Simply click on the diagonal line and move either up or down.
Your image should now look something like this.
Select Image>Adjustments>Hue/Saturation and make sure that you click on the "Colorize" checkbox. Adjust the Hue to 255 and the Saturation to 15. This changes the image to a blueish tint. Play around with the hues a bit to get the color that you want.
Select Filter/Sharpen/Unsharp Mask and set the Amount to 106%, the Radius to 1.0 pixels and the Threshold to 3. This will make the darker parts of the chrome pop out. Add some depth to the letter: Layer>Layer Styles>Drop Shadow and use these settings: Mode: Multiply; Opacity: 100%; Angle: 120; Distance: 3; Spread: 0; Size: 5.
Adding a lens flare finishes off this project: Filter>Render>Lens Flare with the settings at 100% and 50-300mm Zoom. Move the crosshairs to place the lens flare right where you want it.