Well, I've just got my tablet a few days ago on July 19, so I'm pretty new to it.
I use Adobe Photoshop CS2, but my tablet came with a bonus pack with Adobe Elements 3 and Corel Painter Essentials.
Corel painter is really cool because it takes the pressure of your stylus and determines how light the lines are, and with mine, if you flip it to the eraser side it automatically uses the eraser tool.
But Photoshop also has the same pressure features as Corel Painter when you use the paintbrush tool at a low pixel radius, just no automatic eraser function.
But anyway, some tips on making concept art with your tablet:
-Of course, rest your hand ON the tablet like you do with a regular piece of paper and you will have much more control. You might notice that with the stylus, the location of the pen has a direct correlation with the computer screen, so if you put it on the upper left hand corner, the cursor snaps to the left hand corner.
-In Photoshop, create a solid white layer and a transparent layer on top of it, and draw on the transparent paper using the stylus.
-After you have your lines done, go to the bottom layer and use a larger brush size to lay down some color, use different opacities on your brush to get more solid color in places you want it to be.
-Finally, after you have the basic colors layed down underneath the lines, make a third layer between the two and use colors like very dark blue for shadows and bright peach for highlights. The reason why you don't want to use black and white is because if takes out life in your colors, peach and dark blue bring in a sense of warmth. But there are cases where solid black and white work, it just depends on the art style I guess. WHen you're ready to lay down some highlights and shadow, make sure your brush opacity is down to at least 10, so you can make numerous light strokes to get a more gradated effect, as you probably see in the barret picture.
-After you're done, you can use the smudge tool on some of the shadows and highlights and colors to even things out if it looks too messy, it works if you're careful.
Well that's pretty much it. Have fun. :D