There are plenty of ways to create cool looking grunge effects in Photoshop; and if you have some textures or custom brushes handy, you can really achieve some spectacular results.
However, I thought it would be fun to take a look at how to create a grunge effect in Photoshop from complete scratch -- no photographs to start with, no brushes...nothin' but Photoshop! Let's take a look:
First, go ahead and create a new image inside Photoshop by choosing File > New. The dimensions you use can be whatever you want. In this case I'm creating a background for a blog, so I'll set mine to 960x1000 pixels.
Tap the "D" key on your keyboard to make sure your Foreground and Background colors are set to their defaults, then choose Filter > Render > Difference Clouds. Once that's applied, you can leave your image as it is or repeat the effect by choosing Filter > Difference Clouds a few times in a row.
Now we'll repeat what we just did on a new layer. In the Layers panel, create a new layer; then fill the new layer with solid black. You can do this by hitting Opt+Delete (Mac) or Alt+Delete (PC). Next, go back and choose Filter > Render > Difference Clouds again. As before, you may want to repeat this effect a few times by choosing Filter > Difference Clouds.
Okay, we're building up our textured grunge effect. At this point you may want to repeat the last step a few times to create a more pronounced textured effect; that is, create another layer, fill it with black and throw down a few shots of Difference Clouds -- it's entirely up to you.
Another option you may want to consider is experimenting with the blending mode and opacity for each layer. For example, try using Screen or Overlay, and try lowering the opacity to help blend your layers together. When you're satisfied with how things are looking, we can start applying some color.
Select the bottom-most layer in the Layers panel, and then choose Image > Adjustments > Color Balance. Again, feel free to experiment here. What I've done is set my Tone Balance to Highlights and then adjusted the three sliders until I got the desired color effect that I was after.
When you're happy with what you have, go ahead and apply Color Balance to your other layers.
The fun thing about creating grunge effects from scratch is that you can keep going and going with effects. However, I think I'll finish off by lightening my image somewhat, and also giving it a little depth via a gradient overlay.
First, I've created a new layer and filled it with white. Then, I set the layer's blending mode to Multiply and lowered the opacity to 70%. Finally, I double-clicked on the layer to access the Layer Style dialog box, and on the left, I turned on Gradient Overlay.
Again, I could keep going by applying more Difference Clouds, Layer Effects, or even get into some other color correction tools like Curves or Hue/Saturation, but I'm pretty satisfied with the grunge effect I'm getting here. I hope you're happy with yours, too!