This shows how I made the picture "Game Over, Sir" from start to finish. [link]
I want to make it clear that this is NOT the only way I do stuff. There are many different ways to paint digitally; each method has its own pros and cons.
I almost always save all my pictures in stages. That means I could make a similar tutorial for almost any of the pictures in my gallery. The reason I chose this particular picture is that it's simple -- no backgrounds, nothing super fancy going on. At the same time, it employs several techniques that I often use. I feel that it's a good representative, even though it's far from perfect!
This was done in Adobe Photoshop 7.0, but I hope you can learn something from it no matter what tool you use.
Addendum to the second step: initially, I had wanted Naesala touch Lekain's throat (you know, to make a 'lol ur ded'/ 'my talons go rite heeere' motion), but Naesala would not cooperate. I had to find a different pose. I think what I came up with in the end works pretty well.
Almost 90% of the textures used in the third step come from cgtextures.com. The remaining = my own stuff.