Here are a few useful links, to help you make your games:

I Graphics (3D):

• 3ds max : the most famous and liked tool, very expensive, but enables pretty much anything. Very useful for 3D modelling and animations.
• Autodesk Softimage Mod Tool 7.5 : free tool provided by Autodesk for 3D modelling and animations (free as long as you don't use it for commercial purpose). It is provided to help XNA creators.
• Blender : 3D modelling and animations (free). Most people like it.
• Caligari TrueSpace : 3D modelling and animations. This tool is not much liked. It is currently disappearing.
• MakeHuman : Make realistic humanbodies and faces.
• Turbo Squid : 3D model library (some models are free, others not)

II Graphics (2D):

• Gimp (free)
• Paint .net (free)
• Photoshop (not free)
• Paintshop pro (not free)

III Texturing:

• CG Textures : free source of all sorts of textures (very useful)
• Allegorithmic Pro FX : free texture creation tool

IV Sound effects and music:

• incompetech.com : free source of different musics
• Muse Score : free tool that lets you create a partition and then plays it for you, with the instruments you want. It may also translate music into a partition.
• Audacity : free tool that enable the user to modify sounds, voices or musics
• SoundSnaps : site in which you'll find sound effects and music loops, for free (limited to 4 per month) or for few money