Start with a white background, then use the elliptical marquee tool to create an oval shape.

Set the foreground colour to Blue (I used #1A85D7) and Background ( I Used #1954AB) to Dark Blue then use the gradient tool to fill the selection from top to bottom using the foreground and background..

Create a new layer then go to “SELECT > MODIFY>CONTRACT” then enter 2. Click ok.

Go to SELECT>Feather and enter 1 then Click OK.

Select the Brush tool and choose a 15 Pixel Hard Brush. Now open the Brush Dynamics pallete (by click the icon on the top bar. Select “Other Dynamics” Set as follows:
Opacity Jitter=0, Control = Fade and enter 20 into the box next to it.

Set the Foreground color to #89C9FB then while holding down the shift key, use the brush tool paint from left of selection to right. It should fade out like the screenshot on the left.

Hit CTRL+D to deselect. now add a dropshadow to the first layer by double clicking on it or go to LAYER>LAYER STYLE>DROP SHADOW

Your image should now look like this (left).

You can add any text with any effects to the button. I just add a simple text with a drop shadow.

You can turn this button into some cool shape buttons by applying the distort filter to it. But first, link all layers (except the background) together then hit CTRL+E to merge the layers, or go to LAYER>MERGED LINKED.

Now go to Filter>Distort and play with some of the filters, works best with Wave, Twirl, Ripple and ZigZag.