You speak of shadows. I have seen some of the fx features in Photoshop. You can apply a drop shadow just like in Photoshop with the Stylize>Drop Shadow... command. There are other Stylize functions like Inner Glow and Outer Glow. Remember when you do a 3D extrude your object should not have an outline or there might be distortions in your 3D Extrusion as I experienced when I just now tried it. (I find that the extrude options in CorelDraw are more powerful than those in AI--and they have been for years).
Here are some screenshots showing in particular the lighting effects that can be added to have multiple light sources which can be placed i different orbital positions to vary the effect.
This one below is create by place a duplicate on top of the above 3D effect Circle and giving the duplicate a straight forward gradient fill and lowering the opacity. I removed the 3D effect from the duplicate Circle.
Thanks for the help Wade.
I am curious I showed you what Illustrator did but I am myself wondering if this really answered your question as the bevel in Photoshop is different and has different controls?
Would be interested in your feed back?