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One of the Duoh! dot com illustrations called Grafiek Grafik Grafico has this special shape which I thought would be ideal for a tutorial.

Draw a circle

Draw a circle using the Ellipse tool holding down the Shift key and apply a linear gradient at 90°.

Cut in half and duplicate

Select the Direct Selection tool (white arrow), select the most right anchor point of the circle and hit delete. Click and drag the 1/2 circle to the right holding down both the Shift key and Option/Alt key. The Option/Alt key is to duplicate the object and the Shift key is to make sure you drag this shape perfectly horizontally.

Join the segments

With the Direct Selection tool (white arrow) still selected, drag a selection over the top most anchor points. Go to Object > Path > Join or hit Cmd/Ctrl + J. Do the same for the bottom anchor points as shown in the image above. The shape should be perfectly closed now.

Rotate duplicate at 180°

Make sure Smart Guides is turned on: View > Smart Guides. Select the Rotate tool and click precisely in the bottom right anchor point. If you hold down the Option/Alt key you get a window. Enter a value of -180° and select Copy. Or you can also click without holding down the Option/Alt key and drag the shape holding down both the Option/Alt key and Shift key as shown in the image above.

Apply gradient

Apply a new gradient by adjusting the bottom color as shown in the example above.

Rotate duplicate at 180° both objects

Now select the Selection tool (black arrow) and select both shapes. Click precisely in the bottom left anchor point. You can do this again holding down the Option/Alt key and enter a value of -180° and hit Copy or drag 'by hand' holding down both the Option/Alt key and Shift key.
Adjust the gradient of both shapes. The bottom color is the same as the top color in the shape that follows. This way we achieve a smooth transition. Next, we make sure our duplicated shapes are both selected and we click in the same spot again holding down the Option/Alt key. Here we enter a value of 125% and we click OK. Repeat this step if need and as long as you want this shape to be.
Hope you enjoyed this tutorial. It will be one of the last ones for a week or 2 as I'm off on Saturday for San Francisco to visit some of my friends and a few clients. Later in the week I'm on a *jetplane* towards SXSW (Austin, TX) :)