I really like the way Rhino lets you create splines. Is it possible to create a spline in Rhino and export it for use as a spline in Photoshop or Illustrator?
Absolutely.
While there are globally-inclusive export options that would likely accomplish the same goal, my explanation is focused on exporting selected objects.
With the objects (splines) that you want to use in Photoshop or Illustrator, go to File>Export Selected, or Right-Click on the Save Icon on the Main Toolbar. You will then see a window appear prompting you to choose your save destination. Under the Save as Type dialog option, select 'Adobe Illustrator (*.ai)' as your option.
You will then be given several options to configure the extent of what you will export, as well as the scale with which you wish to export it. Save, and you should be good to go.
The .ai format will allow you to preserve individual spline data which is great for Illustrator's Live Paint tools, or other shape-based editing.
If you desire direct import to Photoshop, you can export as a .pdf in the same fashion as above, or just take a screen shot. As far as I know, exporting splines from Rhino into Photoshop as Shapes isn't possible.
Not to sound sarcastic, but I usually just use a screen shot of the splines in Rhino to get them into Photoshop.