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The tools you use to create the things you hand to programmers will usually change from engine to engine. The major art tools are usually the basic setup..

Models, sometimes entire scenes: 3D Studio Max
Textures, sprites: Photoshop / Paint Shop Pro
Sound effects, streaming music: Sound Forge

There are hundreds of tools to help with the creation of individual engine objects. Such as nVidia's tools for generating normal maps or height maps. But there are many of them, and you'll usually just hunt those down as you need them.

If you want to jump into character design, that would be straight from pencil to animated model, then to the game. The same is true for music and sound effects, although much less technical skill is needed to fully create them. There are a lot of different ways to make game music, and that will vary like almost everything else.

Interface design might be something to think about. Most game designers neglect interface design, so that's a void to fill. Like most game ingredients, there's not much to it other than drawing the graphics, designing the behavior, then programming it into the game.

Thanks a lot :)