There isn't really any general advice that we can give you on making sigs as there as many ways to create a sig as there are ways to create any graphic. Use your imagination and your artistic skills and keep the height down and don't make the file size too big (think of the people with dialup connections).
If you want great examples of sigs then check out the sig repositories below (they make excellent use of the Asylum colours and usually keep dimensions and file sizes down) or the previous winners of the sig contest below:
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Relevant links:
Psygnosis - Weadah's awesome work. (his web site is occasionally up and down until he returns to deal with it properly and if that link doesn't work there is a selection at deviantArt)