Shoutbox

Uhm, without testing it I can think of 2 options, a) using the pen tool(this'd be the proper way to do it) b) using the Shear filter(Filter > Distort > Shear).

Basically you'd draw a line(how ever you like, pencil, brush, or just regular old marquee tool), then with that layer selected do Filter > Distort > Shear and use the ui that appears to bend and manipulate the line.

You can then duplicate the layer and change the colour overlay to get your different colours, and do some more 'shearing' on each different line to get slight variations/that crossover effect.

The 'shearing' tool is relatively self explanatory in the way you use it, just play around with the dialog that appears and you should get the gist of it(it's simple).

Again, the pen tool would be the proper way to do this though, but most people find it quite hard to use(which it can be).

EDIT: Oh, I hadn't anticipated that, shear method will only work on vertical lines, so you'd have to do it vertically and then rotate as needed