I usually create the base shapes in Illustrator and then copy and paste them into Photoshop as Smart Objects to add shadowing and other effects. I'm so stuck on the Pen and Pathfinder tools in Illustrator that I rarely use the shape tools in Photoshop.

Especially apropos to DN folks though is that I've been playing around with the flat aesthetic and have been using Illustrator for the bulk of my drafts It's been great for that, but I still import into Photoshop to put on finishing touches.