step 1 of 11
Start with a simple white BG and use the pen tool to draw an outline of a head, fill with color gradient.
step 2 of 11
Pen tool a body, I tried to draw legs, but I kept on crossing the lines over each other, so I started to smudge it at the bottom so I could add a tail. Anyway fill with color gradient and burn some edges for depth.
step 3 of 11
Draw in Eyes with Pen tool, you might start seeing a theme here... and color gradient. Note: no feathering or it would loose that comic book feel/look.
step 4 of 11
I duplicated these layers and added a guassian blur to them to make a glow effect.
step 5 of 11
The tail is just a smoke brush warped from brusheezy.com follow the link if you want them.

sources used for this step:
step 6 of 11
Duplicated tail layer and added a gradient so it would match the rest of the body, this also helped hide the edges a little bit.
step 7 of 11
added texture to body, head, and tail. Blending mode: soft light for body, and screen for tail.
step 8 of 11
Added BG with a B&W filter w/ infrared tint.

sources used for this step:
step 9 of 11
Darkened the sky with a levels/mask and a curves adjustment to the tail so it would stand out a bit from the BG.
step 10 of 11
Added a Guassian blur to the BG and used a Gradient on the mask to make a semi-shallow DOF.
step 11 of 11
Finally, I added a gradient to the whole image and set the blending mode to darken.