Wacom Bamboo - no pressure sensivity
In the Wacom settings panel System Preferences - Wacom you can adjust the pressure sensitivity  by clicking the pen in the Tool panel. and test it by applying pressure anywhere in the tip feel box.  For the Bamboo there is no sensitivity indicator.
###The status bar will indicate the pressure.
Page 42:  Bamboo User Manual

In Photoshop (CS 4 and above) you have to set your brush sizing to pen pressure:

***Note:
The screenshots from above are for an Intuos 4 but they should be very similar for the Bamboo Pen.
If your not getting any sensitivity send an email to Wacom support.  They are very helpful and responded quickly with instructions on how to fix a problem I was having with Illustrator crashes.