The basic red circle for all the examples shown below was created using the Elliptical Marquee tool (Mac & Window = M) and filled with red with the paint bucket tool (Mac & Windows = G). I chose the color red because it is one of the most difficult colors to show shading and therefore reveals how well the different methods shade an object.
Using the Inner Shadow & Inner Glow effects in the layer menu. This method applies the effect automatically to the entire layer and the light spot is always centered. I don't think it is a good method for shading art but it is an easy method for shading some product mock-ups such as pillows and oven mitts.