Buttons: Rounded
I call this page the second version of the Buttons tutorial, although it's no being continued. This is simply another version: rounded corners. This tutorial has been done several times before, but the way I do it seems to not be used (this could change of course, I'm not psychic). There is also Angela's version, and I guarantee you, it's much easier.
First Thing
I've done this in Adobe Photoshop 7.0, and I have no idea if it works in any other program; I'm sure it works in all CS versions of Photoshop. Make sure you have the shapes tool.
Base
Create a new image. I've used the size 75 by 50 in pixels. Next, grab a color for the base. I chose a light grey (#E8E8E8). Fill the image with that color. Grab the shapes tool (should be a square on default, although this depends on what you had it on last.) Make sure it's set on the 'Paths' option and is 'Rounded Rectangle Tool'.

I'd recommend at this point to zoom in, as it'll take a good while to get the border right.
Base: 2
Once you have the tool, with the cursor, go to the top left corner, and align the bottom cross with the very top of the image. Drag down until you've outlined the image. Right click and choose 'Make Selection'; a box will pop up, and choose '0 pixels' for your feather radius. This should select the image. Then go to Select > Inverse. If the selection disapears, go back and try again. This might take a little while to get just right.

Once inversed, hit delete. This should create a white space in every corner.

Go to Select > Deselect.
Border
The border is optional of course, but if you'd like one, go to Layer > Layer Style > Stroke. A box will appear, and enter: size 1, position inside and choose your color. I choose a medium blue (#0078B6).

If you want two borders: Go to Layer > Layer Style > Stroke and enter the background border (usually the bigger border, which would range between 2-4 pixels, and make sure the position is Inside). Then go to Edit > Copy Merged and then Edit > Paste. Then go back to the Stroke option and enter the smaller border.
Text
Once again, the text is optional, although I like using it for effect. :D I used the font Perpetua with dark blue text (#153A4D).

You can even use it with a pattern (you can do this when you get your base by going to Layer > Pattern Overlay):
