Simon "ixenoni" Fuchs wrote up a great tutorial about creating glass in CryENGINE3. For those that like moving pictures, there is also a video tutorial
Check out either the written tutorial on Simon's site, or the video tutorial on Eat3D (free). Even if you don't plan to use CryEngine3 some of the techniques used can be translated to other engines so its worth checking out.
Thanks for sharing Simon!
We're talking about it HERE