Minecraft: Xbox 360 Edition

All that is needed for this tasty treat is three pieces of wheat, three buckets of milk, two heaps of sugar and one egg.

The wheat can be harvested from planted seeds. Seeds are often produced by tall grass by hitting it. For the seeds to grow, the dirt must first be tilted. Once the block of dirt is tilted and hydrated (it'll get a somewhat darker colour when surrounded by water), you can plant the seeds. For the crops to grow more quickly, they must have a certain amount of light. The light can be natural, but it doesn't hurt to spam some torches around your crops. Make sure not to trample your crops by walking over it. Animals and enemies can also trample your crops, so be careful. The crops are ready to be harvested when they gain a somewhat yellow colour, rather than the green they previously had. Also, you'll get back your seeds after harvesting. Yay, more farming.

For the milk, you'll first need to craft some buckets. Iron buckets are made from three pieces of iron, so you'll need at least nine pieces of iron to bake some cake. To get the milk in the buckets, simply approach a cow with a bucket and press LT when near (the HUD will actually say 'Milk'). You can use different cows, but it's also possible to get all three buckets from one unlucky cow.

Sugar is produced from sugar cane, which is often found in groups near bodies of water. No doubt you'll encounter these (usually three blocks high) green plants on your travels. Hit the lowest part of the plant to make the rest come down too. The conversion from sugar cane to sugar is 1:1, so two pieces of sugar cane will do.

The egg often proves to be the hardest ingredient to get your hands on. No surprise, it doesn't grow anywhere and actually needs to be laid by a chicken. Chickens lay eggs randomly, so when encountering a few chickens, it is wise to quickly trap the little birds (build a fence or two block-high wall around them) and just wait for one or more of them to lay an egg.

Once all the ingredients are gathered, you can craft yourself a cake using the Crafting Table. Under the food tab you'll find the cake. Just select the cake, press A and the Achievement will unlock immediately.

NOTE: Cake needs to be placed to be eaten. Once placed, you can feed from it six times. It can, however, not be picked up again, so be wise when placing it.

Also, it's not a lie.

EDIT: As proven in comments, sugar cane does NOT grow in tutorial worlds. Bake your cake in a real, new game when trying to obtain this achievement!

You need some things to make a cake.
-9 iron ingots to create 3 buckets. Find a cow and press LT with a bucket in your hand to get milk.
-1 egg. Find a chicken and wait...
-2 sugar. Visit your world and stay near water. Sugar cane grow on sand generaly. Find one sugar cane and cultivate it.
-3 wheat. Cut tall grass to find seeds. Like sugar cane, cultivate it near water to get wheat.

With the latest title update this achievement can now be unlocked quickly and easily in the tutorial world.
To make the cake, you will need 1 egg, 2 sugar, 3 wheat and 3 milk.
Load up the tutorial level and press b to skip the full tutorial. Head up the squares towards the farm area, at the crossroads where the fireworks go off, turn right and then right again, go to the end to the chicken pen, where you should find an egg, if not pop back once you have the other ingredients. Inside the chest in the middle of this area is some wheat, grab three of those.
Now go back to the crossroads and turn right into town. Go under the bridge and down the left street. The second door on the left (Fireworks shop) has a crafting bench you can use once you have the ingredients. For now go into the fourth door on the left, behind the counter in a chest are some milk buckets, grab three of those. Go back out to the street and just after the building you were in is an alleyway, opposite the beacon. Go down here and turn right at the end. Follow the wall of the buildings and after 3-4 doors you will see some sugar cane, if you didn't know, it looks a bit like bamboo. Harvest this and either head back to the crafting bench in the fireworks shop or make your own. Go to the food tab and make sugar from the sugar cane, you should now have all the ingredients for the cake, craft that and the achievement should pop.