Just one more post, I promise. Wanted to detail three more tricks I use for these. Now, unfortunately I'm not working on maps which require either of these two right now, so these tutorials will have to be without pictures for now.

Ice Clouds:
This one is fairly simple, if not entirely easy to pull off looking good. Using the elliptical selection tool, select the outer limit of where you want the ice cloud to cover, more or less. Then using the same tool, deselect (by holding ctrl) the area forming the border where you would like it to begin. This should give you a selection shaped likea hollow tube. Use Solid Noise [Filters->Renders->Clouds->Solid Noise] on a new layer (I generally put it behind everything but the background) to give the area some texture, and Colourize it the way you want (blueish for an ice cloud, brown for a dust cloud, etc.). Set the opacity of the layer from the layers dialog box to something that looks good (15-33%, usually) and deselect the area. Now, using the smudge tool, rub the edges of the cloud until it looks the way you want. It should start to naturally blend the cloud into the background in a way that looks good. My map of Sirius has an example of an ice cloud.

Asteroid Belt:
Making an asteroid belt doesn't really require any new techniques, it just uses ones I've covered before in a new way. First, select the area you want the belt to cover. Be generous here, but don't cover any planets' orbits unless you want the planet to plow through the belt once or twice a year. Again on a new layer, use Solid Noise with turbulent checked and set the x and y to whatever you want. Set them higher for more, smaller asteroids, or lower for larger, fewer ones. Now use Brightness/Contrast as if you're making a planet with very a lot of water and small, roundish islands. You will probably need to take the Pencil tool and recolour some of the islands on the edge so that you don't have asteroids which just sort of abruptly end, or split larger bodies in half, or reshape others. Then Select by Colour whichever colour is going to be the background here and Clear it. Select the other colour, reapply the Solid Noise, Colourize it, and apply a Bump Map just like you would for a planet. I like to use more drastic settings for asteroids so they look even more jagged and unshaped. If you do it right you should have a decent-looking asteroid belt orbiting your star.

Inside a nebula:
In my Universe, Fuu'u'll and Modra are situated inside two Nebulae (They're not exactly the same thing as what we call nebulae--in my universe Space has air, Fuu'u'll is in a smog cloud and Modra is surrounded entirely by water vapour). Just above the background and behind everything else, I've applied a Solid Noise, set the opacity of the layer VERY low (3-15%) and Colourized it until it just barely fogs the background in the right colour.

Fairly simple to do, and all using the same handful of tricks.