This one is very detailed and can give a good start:
http://www.wpdesigner.com/2007/02/19/so-you-want-to-create-wordpress-themes-huh/
7 Useful PSD to WordPress Tutorials
How To Convert PSD To WordPress : Top 9 Useful Tutorials
Free Bloopress WordPress Theme Design Tutorial with Source (PSD/xHTML/CSS/WordPress)
Creating a wordpress theme from a psd file
From PSD to HTML: Building a Set of Website Designs Step by Step
PSD to WordPress: Converting a PSD in to a Premium WordPress Theme