Delete the default cube in the centre of the scene if one is there already.
Switch to side view.

Press keyboard Spacebar > Add > Surface > Nurbs Circle

Press keyboard Tab to switch to object mode.

Switch to front view
Press keyboard Shift D to duplicate the circle and drag it to where you want to place it.

Press keyboard S to scale the circle to the size you want.

Press keyboard B and drag a box around the circles to select them. (It might help to move the lamp if it is in the way - press keyboard G to grab, and drag)

Press keyboard Ctrl J to join the circles.

Press keyboard Tab to switch to edit mode.
Press keyboard F to skin the object (makes faces).

Press keyboard Tab to switch back to object mode.
To convert your object to a mesh, press keyboard Alt C. You can press keyboard Z to see the model in shaded mode.

To smooth, click the vertex editing button
, and click on Set Smooth and SubSurf. Set Subdiv to 1 or higher.If you want your spike to have a sharp point, I suggest you do the following:
Press keyboard Tab to switch to vertex edit mode. Press the B key and highlight a few vertices at the pointy end of the shape. If you make a mistake, just press keyboard A to deselect all.
Press keyboard E to extrude. Drag the vertices to where you want them, and press keyboard S while holding down keyboard CTRL and scale the size down to 0.
You can also select all vertices by pressing keyboard A S X. That will let you select all vertices and scale the shape on the X-axis to stretch it out a little. Here is what I came up with:

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