A step by step walk-through of how I made the feather shown below. I had some problems with photoshop crashing so I had to redo several steps. That resulted in it not looking quite as good as the original. Oh well, you get the point. :) This is actually my first attempt at drawing a simple feather so bear with me.

Step 1

Draw the "spine" of the feather to determine which way it will lie.

Step 2

With a general base color, block in the shape of your feather. Depending on the feather, pieces will clump together and separate in different areas.

Step 3

With a fairly large, soft-edged brush go in a develope basic shadows and highlights.

Step 4

With a finer brush, start to develop some of the individual "hairs" on the feather.