iPhone
This will be our final result: final
Start by making a new image with 450x550 px.
You can choose any color or image as background. I just took one of my previous projects.
Now we can start with the real thing.
Select the rounded rectangle tool (press U) with options selected:

Now right-click on the shape you've just created and select blending options.
Add folowing effects:



stroke gradient:

Result
Next, select the rounded rectangle tool again with the same options as last time, but now make a 243x461 rectangle.
Position it in the middle of the previous rectangle and add following stroke:

Result
Now again with the rounded rectangle tool, we're gonna make the little speaker.
We use the same settings again, but now make it 50x7 px.
Add following blending options:


Result
Now search for a good background for your iphone. A good site: http://www.freeiphonewallpapers.com/category/animals.
Scale it so that it fits the rest of the image. Leave a little space between the border of the phone and the wallpaper.
Result
Now, select the ellipse tool and make a 45*45px circle (colour=515151). Rasterize the shape and select the elliptical marquee tool.
Select the upper part of the circle and hit delete (look at result for detailed view).
I'm getting tired of saying this all the time, but again select the rounded rectangle tool.
Draw a 17x17px rectangle with radius 5px.
Set the fill to 0% and add following stroke:

Result
Now make a selection like this (width isn't important, we'll crop that later) with the rectangular marquee tool.

Now, while holding Ctrl, shift and alt on your keyboard, left-click on the wallpaper layer in the layers-window.
With this selection, make a new layer and fill it with any color. Name this layer upper-frame. Set the fill to 0% and add following blending options.

with this gradient:


the gradient is just black and white, with the two colours on 50% position.
Result
Now select the type tool and use arial 58pt, white. Type any time (e.g. 9:41) and position it in the middle of the previous created layer.
I thought that the font was a bit too thick so i rasterized the layer, selected it then "select->modify->contract->1", then select->inverse, and finally hit delete and deselect.
But that's up to you, if you rather like it a bit thicker, you can leave it that way.
Now type in arial, 10, white a date (e.g. Tuesday, January 9) and position it under the time.
Select the rectangular marquee tool again and make selection like this (only the upper border matters this time).

While holding ctrl, shift and alt, again click the wallpaper layer. Fill with any colour and set fill to 0%. Name this layer lower-frame.
Now right-click the upper frame layer and select copy layer-style, then right-click the lower-frame layer and select paste layer-style.
Add folowing outer glow:

Result
Again, select the rounded rectangle tool and make a 180x35px shape with 6px radius.
Position the layer in the middle of the lower-frame layer. Name it "Slide"
Select the shape by holding ctrl and left-clicking the layer in the layers-window.
Next left-click once on the lower-frame layer in the layers-window and hit delete.
Add these blending options to the shape you've just created.


with this gradient:

Result
For the last time we're gonna use that rounded rectangle tool. Make 50x31 shape with radius 8px.
Position it left in the "slide-layer".
Add following gradient-overlay:

with this gradient:

Now select the costum shape tool. Now click on the little arrow down next to "shape:" a window pops up. Now click on the little arrow on the right in that window and click on "all".
Next search an arrow that looks like this in the popup window:

In the options, make it a fixed size of 25x17 px. Position the arrow in the middle of the previous created layer.
Add a color overlay. Opacity: 100%, normal, #949494.

Finally, select the type tool, and type in arial, 17pt, white, "slide to unlock".
Lower the opacity to 25% and position it in the "slide-layer".
Result
I've added a few extra icons on top, it's not really hard to do that, just a little bit of drawing.
Done!
Result
You can download the .psd file here