Attached Link: http://www.renderosity.com/mod/gallery/index.php?image_id=1389847&member

There are two ways that spring to mind and it depends a little on how sharp you want the edges of the hole. 

For the ring (linked) in my gallery, I created a nurbs torus and just grabbed the nurb controlling the inner ring and expanded it out (if this sounds too complex just scream and I'll try to explain better). The ring you've shwon looks a little sharper then that and I would be tempted to use a boolean method (even there is a tube object available).

1. create a cylinder that will end up as the main part of the ring (hit tab to switch to object mode)
2. scale it down along it's length only ( so if you added the cylinder such that it's length is in the x axis, press s to scale and then press x to limit the scale to x only)
3. Add and apply a simple subsurf to the cylinder.
4. switch back to edit mode and extrude some faces out to product the face of the ring
5. create a cylinder that will 'cut out' the middle of the ring - scale and position it as appropriate
6. make sure you're in object mode.
7. select the cut-out and then shift right click to select the ring too
8. on the menu select object-boolean and choose difference.
9. you will now have the base ring to tweak a little further...

In the image I created the grey cylinder and extruded out the bit for the ring body (1-4) above. I then created the cut out (red) cylinder. and did the boolean leaving the red ring as shown ready to tweak. 

As I mentioned another way to consider is starting with a tube - converting from nurbs to mesh and then doign the extrude and tweaking - there are so many ways to do this I've tried to choose the easiest for a newb.

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Toolset: Blender, GIMP, Indigo Render, LuxRender, TopMod, Knotplot, Ivy Gen, Plant Studio.