I used to have a really difficult time creating word balloons. The main program I use for inking and toning - Deleter Comicworks - isn't very useful for creating balloons, and Photoshop is often unweildy or takes up too much memory on my poor 1.7 GHz computer. So, after a bit of tweaking, I finally figured out the perfect settings in Illustrator for creating smooth, delicate, hand-drawn balloons.

The best balloons have a little bit of line variation, and while Illustrator's tools aren't as sensitive as Photoshop or Comicworks at detecting pressure sensitivity from a stylus, I've finally found what appears to be the perfect combination of settings for creating some really sweet digital balloons.

Note: It's recommended that you have at least some working knowledge of Adobe Illustrator beforehand--or at least know what tools are where.
 

1) First, open your document in Illustrator. In this case, I opened a new document at approximately 5"x7" - rough size of a TOKYOPOP graphic novel. Now, create a new caligraphic brush, diamete: 1 pt / pressure / variation: 1 pt.

2) Double-click the paintbrush tool, and change the settings to smoothness: 0% / fidelity: 2 pixels. I tried messing around by choosing "keep selected" and "edit selected paths within 3 pixels" but Illustrator is wonky and kept erasing my lines or changing the shape of the balloons. So keep those unselected. I'll show you how to connect the balloon and fill in a bit.

3) Now, you want to draw the initial balloon outline. For this page, I also created a grey background so you can see that my initial balloons have a black outline but no fill.

4) Next, draw the tail, then zoom in and connect all the points of the balloon and tail (or anywhere you've left gaps, picked up the pen to continue a line, etc) with the vector tool. Select your balloon and change the fill to white. (I'll also adjust the balloon shape and smoothness at this point if needed)

5) Since the balloon is rather thick, I changed the stroke weight to .5 points. You'll have to play around and see what fits your art best, but I prefer having my balloons just slightly thinner than my lineart so they pop out a bit and don't blend in with the art too much.

6) Et voici! You're all done! :) Save as an AI or editable PDF file for importing into InDesign for final layout and printing.

Misc tips and tricks:

-Try and keep a steady hand when drawing the balloon.
-DON'T vary pressure too much or it'll come out looking overdone.
-DON'T rest your hand on the tablet. Keep your wrist up and draw using a whole arm motion rather than your fingers.
-Keep points thin and dips thick. It just looks prettier.
-The two points where the tail and the balloon meet often look nicer if they thicken a bit where meeting. This also makes it easier to connect the lines in Illustrator without mishap.
-A little increase in pressure when drawing the bottom of the balloon will help add weight and make it feel more natural.
-For round balloons, I usually set the fidelity of the paintbrush tool to 5 to make it a little smoother and rounder and compensate for hand waver.
 

More resources:

How to do hand lettering and ballooning: http://www.blambot.com/handlettering.shtml

Lettering in Illustrator:
http://www.amazon.com/gp/product/0974056731/102-9526619-0365744?v=glance&n=283155&s=books&v=glance&tagActionCode=wwwcomicbookfoco

Reference Comics:
http://www