like leonec said there are lots of ways to do this..
Personally when i need to make depressions I either use
channels and then render lighting or I do the method allready
expressed by leonec.
In order to use the channels method and render lighting I have
noticed that it will change your colors a bit and then all you have to
do is go into Adjustment levels and tweak them in and it should be fine. Here is a brief over view of channels and the render lighting.
select what you want to have the depressed look in the layers
palette then switch over to the channels palette. Click new channel, you know the two little squares down there, and you will now have a selection on a black looking image. what i usually do is fill that selection with 50% GREY then create how I want my depression to look, remember white is high but you have the ability to turn that off in lighting. Once you have the thing painted like you like it switch back over to the layers and goto filter/render/lighting.
When doing highs and lows I use directional light but others may use spot. Start out with direction lighting and go from there, then all the way at the bottom of that window there is an area to tell PS which channel to use and you want to select alpha 1, Sorry im not in front of my work machine so i cant supply pics. Play around with the height slider and when you think you have it click OK, if thats now how you want it to look, undo and try again in the render lighting...Then if the color has changed a touch goto image/adjustments/levels and slide those outside arrows in towards where the black starts and that should tweak your colors back to norm on that layer.....Good Luck..I'm off to lunch