As DA01's said, these are really just digital illustrations. In terms of workflow, these workflows are common:
- Draw the entire thing in Photoshop. Works for simple concepts.
- Use Illustrator's 3D tools (extrude, rotate etc), then paste the shapes into Photoshop for lighting, reflections, colours and textures.
- Use a 3D app like Modo, Maya or Cinema 4D to create a rough approximation of the objects and lighting, then trace the results as shapes in Photoshop.
SoftFacade are masters of that last technique. Here's a case study where they actually take the 3D modelling further than most would. I believe they still finished everything off in Photoshop.
SoftFacade's IconFinder case study
I'll let you be the judge if this icon I created is up to the standard you're after:
iStat Server icon on Dribbble (includes PSD)
I've included the Photoshop document, an animation recorded during creating the icon as well as some tips on the techniques used. I hope it helps.
It's really important not just to create a good looking icon, but build it using shape layers and techniques that allow the icon to be resized without loss, because it's common to need to create a lot of sizes, from 16×16 up to 1024×1024 (you'll probably need to redraw 16×16 and 32×32 sizes by hand).