Yeah, first of all, you'll need a program to make your games. RPGMaker and Fighter Maker (or Mugen) are a good start, since they are easy to understand and don't take too much time to learn. And if you know what kind of genre your game should be, the limited resources/options of these gamemakers aren't a big problem.
FMHQ has some good tutorials for Fighter Maker, as well as downloads and competent members to ask for help if you are stuck.
If you want to go advanced, you can use the gamemaker eyeteeth suggested as well, or flash, or really anything. It's up to you and what you make of it.
The biggest problem in making Ryonagames are the visuals. You can do it like Eluku, drawing you own characters, frame by frame from scratch and inserting them into the game. But if you are like me and can't draw for shit, this isn't really an option. I personally like handdrawn sprites the most, but they are rare - since it's the most difficult way to make you characters. Second option would be to take sprites from existing games and modifying them in some ways, like I did in Raped! or can be seen in most Sex Mugen Characters.
And the third option would be to make your own sprites with the help of other programs - like 3DCG, which I use now. It's a lot of work but unlike the first option you don't need any talent for drawing. You just need a lot of patience and a good imagination. The backdraw of this option is that it looks mechanical and less fluid. You can always just add more frames/screenshots, but making really fluid animations out of screenshots can be quite difficult.
Music and sounds are the last piece you'll need to make the game complete. I got my SEs from different sources - Fighter Maker/RPG Maker RTP, Internet-sites and from the Ryonaproject. They upload everything they use for their games into a
library, the sounds as well. 1828 for example.
Other programs you'll need are image designers like Gimp or Photoshop and maybe something for editing sounds, like Audacity.
