For the skin I always like to use the mental ray SSS material which I control over different maps. I also use this shader for the white of the eyes. The cornea of the eye is of course a RayTrace material with Fresnel reflections and a HDR map in the environment slot. For her dress I used a mix of cotton and a semi transparent material, which is controlled using an alpha map. The transparency made her dress look sexy. The caustic reflection in the big diamond is a dispersion fake using different color maps and gradients because I wanted to render the whole scene without global illumination and caustic calculations.
Lighting
The Queen of the moon - Final Illustration
For nearly every scene I create I use photometric lights because they are much more realistic than standard lights. For this image I used a kind of traditional light setup, one strong light from top left, lighting her face, one extremely strong light from the back (simulating the moon light) and a soft orange light from the right to give an interesting touch to the whole scene. For the big moon in the back I simply used a photo. I placed these 3 photometric lights spherically around her.
As I mentioned above I rendered the hair using MR primitives and no GI or FG. Finally, I took it to Photoshop for color correction and to add some glow effects and my image was finished.
I hope that this step by step process will be useful to some of my fellow artists. The process I used here is one of the most common methods for creating images like this no matter which software you use.