Quote - > Quote - I use Pakled's method. What I do is create my speech bubble, and then make it at 67% transparency (arbitrary number, I know.. but it's what I keep with).

As for the speech bubbles themselves, I draw them on a separate layer by doing a circular selection to make the oval, use the polygon selection tool to get the triangular part to point to the character, and fill that selection with pure black. Then contract the selection by 2 pixels, and then fill that with white. Then just use the Blur More, and do the transparency thing. Bingo! :D

Since I want to do comics too, could you demonstrate this method with a short Tutorial?
DPH

There's actually a better method than that (if you have Photoshop).

1.  Create your text on a new layer over the background (which happens by default), format it and so on.
2.  Create a new layer between your text layer and the image.
3.  Create your speech bubbles/thought balloons/textboxes by whatever method you like on the empty layer.  For dialogue, I use the method mentioned (oval selection, add a small tail to the oval, and then fill it with a solid colour).
4.  The end result should be an empty layer with assorted shapes that will be the background for the text.
5.  Now the neat trick: go to the Layer Styles for that layer.  Select "Blending Options" and a new dialogue pops up.  If you click the checkbox next to "Stroke", all your shapes are automatically surrounded by a smooth back border.  If you highlight "Stroke", various options pop up including the width of the border, colour of it and so on.  Et voila, smooth black border around your speech bubbles automatically.

You'll notice that the Blending Options also provide settings like glows and drop shadows, which could also be useful for this sort of thing.  This image shows how it works: the title includes stroke around the letters and a glow, while the text box has a stroke around it and a subtle drop shadow.