Here is a great speech bubble tutorial found on PSTUT.com written by Edvard Erlandsson
Now you should draw an Ellipse that looks something like the one I have drawn bellow.Adjust the size of the Ellipse to match the content you want to have inside the speech bubble.
Now it's time to add the part of the speech bubble that indicates the origin of the speech.For this task we will use the Pen tool, select the Pen tool in the tools menu and in the options bar set the mode to paths mode and set it to Add to path areaBelow are my settings for your comfort.
Draw a triangle like I have done in the image below and make sure to connect the third dot with the first by clicking in it.
Time to style our speech bubbleNow we need to fill the path with a white or whitish color.First create a new layer, then go to the tools menu and select the Path selection tool.Click the ellipse path, hold down shift while clicking in the triangle path, now you have selected both paths. Right click anywhere in the work are and select Fill path in the menu.The Fill path dialog in the image below will appear, in the drop down select color and the Color picker will appear, select the color you want.
Now we can start applying layer effects to style the speech bubble.Right click the layer you just created and select Blending options, now apply all the settings that I have used in the images bellow.
Were finished with the speech bubble tutorialBelow is my final result, remember since we have used paths you can resize the path without getting jagged speech bubbles.
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