I'm currently trying to make a great work using a Gunslinger Girl wallpaper, and I want to make pillars to make it look like there kinda in a building, to go with "Haven for Us". I tried some experiments and it came out horrendous, and I can't find any pillar tutorials. I'm wondering if someone can help. If someone needs to see what I mean, i'll post what I tried.

The thing with pillars is making them look round. I've done this combining two methods. The first is proper highlighting and shadow. Make sure they're soft and "wrap" around the pillar. Usually the edges of the pillar are in shadow with a highlight off-center, but it also depends on your light source. Try checking out stocks for some ideas on how the lighting works, or take some soda cans (or other cylindrical objects), set them around and look at how the lighting works on them.
The other method is to curve or warp the texture on the pillar so it looks round. The spherize filter in Photoshop is great for this -- just make sure you are only warping the image horizontally. I've tried the 3D-transform filter, but I could never get it to work properly, but that's also another option.

If you have CS2, I suggest using transform->warp on a texture to get that curved effect. There was a thread on Rays of light not too long ago in here, maybe the lighting tips in there will be useful. Note that if your pillars are shiny or metallic they will have reflections in them. Also don't forget that your pillars will cast shadows depending on your light source.