The foreground planet in the picture above isn't an object at all. It's a Bryce sky that has been altered to look like a planet. This technique works best for creating background images. Additional objects can be composited into the scene using PhotoShop or PhotoPaint.
First, start with a new scene file in Bryce. Select the ground plane and paint it pure black. Be sure that the Ambient and Diffuse settings are at Zero.
Now create a sky. You can use one of the presets or create a custom sky yourself. The Peach Haze preset works well.
Now create a sphere and texture it with the Standard Glass texture from the Glass presets. Enlarge the sphere and position it so that it completely surrounds the camera. This will cause the horizon line to curve. You may need to move the sphere around a bit to get the proper curvature.
When the sphere is properly placed it should look like this.
Now you can tilt and bank the camera to get the effect you want. You can adjust the Refraction setting of the glass to get more or less curvature.
Thanks to Calyxa Omphalos for coming up with the idea of using the glass sphere.