You can try different techniques either using layers and their options (like multiply, lumi&shade etc) or by using brushes.
Things you may want to try (you can draw a sphere and do shadows test on it):
- colored shadows using multiply layer
- colored shadows using overlay layer
- shadows using complementary colors
- shadows using darker colors of the same tone
- shadows using darker colors of the tones next to your tone (for example if you used a yellow for your base, a green or an orange shadows)
- use some textured brushed
- create new brushes and play with options like the dilution, blending and persistence (if you don't know what these do, play with them or look at tutorials)
- do some color challenge with a given color palette to force you to try things you might not have tried by yourself (you can see examples here: color palette challenge | Tumblr and color palettes here: coloringsite.co: Color Palette Challenge Generator )
You can use the Filter>Hue and saturation option to test things. That's really useful.
You may also want to use a software with color balance and other things like that (Gimp is free and have one) to do some post-processing and adjust the tones. I suggest you to keep the two versions (before and after the post-processing) to see how the colors have changed and what feelings the two versions give you. That way you'll be able to choose better color schemes.
Hope that helps! Have fun!