When you say "rounded", I assume you are talking about cylindrical shading? In your example, that's simply linear Graduated Fills. See online Help.
Although fine for the simple info graphic style of your example, note that conical object is not at all convincing because the graduation does not taper toward the small end of the cone. (Basic example of why I have argued for years that one of the most needed kinds of grad fills in vector drawing programs would be one that allows tapering in a quick and straightforward fashion.) When the provided types of grads are inadequate (In Illustrator CS3 and earlier, they are extraordinarily limited to center-based radial and linear) for the shape being rendered, one typically uses Blends.
Realize that paths with Grad fills can be Blended. This often-overlooked approach can often yield more "elaborate" and more convincing and interesting shading in short order.
MeshGrads are useful for realistically rendering less geometrically uniform (more random or "organic") shapes. The trade-off is excruciating tedium in a very cumbersome interface.
Metalic sheen is generally a matter of judiciously adding more stops and color changes in the grads (regardless of kind). Realism can be enhanced by elaborating with reflections rendered as translucent objects and/or Opacity Masks. But be aware that as soon as you introduce tansparency, you are necessitating rasterization on output.
Instructions for using all the above features are in online Help. It would be silly to try to write explicity instructions for so general a question, because each illustration case is different. Plus, it would just amount to a re-write of the provided documentation. The overall methodology for convincing 2D rendering is:
- Learn the basics of how to use the provided tools in the provided documentation.
- Experiment with them to full explore their capabilities, limitations, and problematic caveats.
- STUDY the subject you want to draw. Pay attention to what "difficult" things like reflection, transparency, etc., really are in the sense of a 2D image. (Common example: People fret endlessly over chrome until they finally come to the realization that chrome is little more than a distorted image of the object's surroundings.)
- Use what you now know about what each of the tools can do, to create a stack of paths that combine to yield a reasonably-convincing render.
- Always strive for elegance: the most desired effect with the simplest construct. Don't over-complicate in an effort to "force" the effect you are trying to render.
Now consider that the above steps are really the same as those followed in any graphics medium (watercolor, chalk, oil paint, you-name-it). You explore the behaviors of the medium, and work toward leveraging their strengths while avoiding their limitations. As you work and practice you become more proficient and your results become more original, more pleasing, and less work. It's too easy and too common to assume in drawing software that there's a wham-bam, instant-gratification "trick" for everything you might need to draw (or that there should be). Don't look for that. Look for relatively simple, straightfoward functionality that can be elegantly leveraged with greatest versatility.
Another common falacy: Continually force yourself to step outside the mental assumption that everything you put on the page must be a permanent part of the artwork. Draw temporary paths frequently to assist in correct geometric construction and reference. Example: If you have some difficulty visualizing what a particular shape's highlighting should look like, use 3D Effect to extrude or revolve a basic shape, and study the highlights and shadows in the result. Then imitate that using ordinary 2D grads and blends.