Source: http://psd.tutsplus.com/tutorials/drawing/create-a-knife-in-photoshop/

Learned the ctrl+j shortcut to duplicate selection to new layer.

Good pen tool practice.

Adding noise with motion blur makes the striations on the blade.

Gaussian blur gives the whole thing a bit of glow.

Stroked paths make the crack in the wall.

Dodge and burn tool on the handle to shadow it.