What sort of shape? If you are using vectors, either imported or drawn with the pen tool, you want to create a compound shape. With the pen tool, in PS6 or later, draw the outer shape then click the subtract from shape area button in the option bar and draw the inner shape. If you have a preexisting set of paths bring in the outer one, then switch to subtract as before and bring in the second. You can do the same sort of thing with the lasso tool - with earlier versions of PS (or if you avoid the option bar) it's shift for add, opt/alt for subtract and shift-opt/alt for intersect.

Coolness. Thanks.