If you are heading to a full set for making games (anyways, prepare for long hours of learning, this can’t be done other way) My advice for the easier way, and some bucks to spend (yet not a lot; if you have a lot, buy Max6 and forget the any problem…) :
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Wings3d (this one is totally free. get it at www.wings3d.com)
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If you are not going to make comercial games, you could, and probably you should, learn also metasequoia LE, it comes handy way often. Great partner to wings. http://www21.ocn.ne.jp/~mizno/main_e.html
The shareware version does not export other than its own native format, mqo.The LE version exports in x(v7) , cob(maybe the best format of these) , dxf, and some other.
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Milkshape. Is way too useful. I get its functionality with a dozen of convertors, and because am to freaky about free tools. But this cost about 25$ and is problems free. It’s the easy way (compared to the beta tools I use to work with)
Big low down:doesn’t have support fo rweights. This way worse for animation. besides, in general character Fx is better for animation.Has support for creating smooth groups, which is not available with other tools, maybe with Wings3d with some knowledge. Also, its vertex menu “weld together” command is really good.
-Character Fx. Way good animation software with weights support. I recommend it. I rarely would go wrong as anyway is 15$. Much less powerful than Max in every sense (also Milkshape is much worse than Max) still can produce game animations quite well.
Not hard to learn.
-Ultimate Unwrap(40$) www.unwrap3d.com . I recommend this one specially. Is in my opinion the best uv mapping tool out there. You need to uv map the model so to prepare how the texture is gonna “wrap” (be proyected over) the model.
besides, it support weights. So you can use as an animation converter also, but preserving weights (not like Milkshape) It allows to import a boned , weighted an animated model from Max5 and 5.1. Also, to export a model boned , weighted an animated model towards max.
Is the only tool for cheap that I know which does this. ~40$
It can open lots of formats and export to lots other. It has at least two formats for export and import bones and weights animated models.One of them is dx8.x.
It imports perfectly Metasequoia both shareware and LE version mqo files. So is a great companion to that one, too.
-GIMP for Windows. (or gimp.org if you use Linux ) http://www2.arnes.si/~sopjsimo/gimp/
is free, and can do all the stuff you need for texturing. At least, 2d style. You can do a bit of 3d painting (basicly marking the areas , so to easierly later on 2d paint and detail them) with :
-Metasequoia
-nPherno skin tool (also allows to uv map, but only with md2 files: if you have Milkshape or Ultimate Unwrap, you can always convert an static frame of md2 into OBJ or whatever) The link is in this thread, above.
-Graffitti. A 3d painting tool, available for free, grab it here:
http://www.worldzone.net/games/azrael_dark/PROJECT_ZERO/devtools.html
-Again , if you have money, the best in low range price is Tatoo (40$) :
http://www.terabit.nildram.co.uk/tattoo
It rocks for 3d painting models. the next tool for this would cost you ~800 $…
Anyway, many old school artist manage to texture over the uv template, no need of 3d paint for them. But trust me, it’s way harder.
Still, I use to do the fine ending in 2d. It’s best.
Finally, though not needed (You don’t need map editors nor 3d painting solution if reach great knowledge of a modeller, an animation tool, texturing with gimp or Adobe (Adobe is better) and an uvmapping tool.) map editors:
I’d just recommend Quark (free, even for comercial products):
http://dynamic.gamespy.com/~quark/
And at last, your other qeustion: To generate terrains (you could do also with a free plugin that is for Milkshape, besides some good texturing. Or just using some magnets over agrid and texturing it) this tool bellow, is a thing that generates a terrain from a greyscale bitmap. Like a map. It exports *.map files you can then open in quark and export as bsp from there (if you use bsp)
Tip, with Ultimate Unwrap opens BSP files from quake3, halflife, quake 1 and quake2 .
http://tarot.telefragged.com/gensurf/
In theory, you can’t use quake3 tools to compile a quake3 bsp, if you are going to use for a comercial product. For that, use a free compiler like this (use with the exported map from Quark) : shaderlab.com
Indeed…no need to mess that much, even less at your startings…You could do all with : Wings3d, Milkshape, CharacterFx, Ultimate Unwrap, Gimp, Tatoo.
That’d be : 25+15+40+40 $ = 120 $. But you could do it all…Indeed, only my 3d painting tool is more expensive than the total…
SOmetimes one waste the money in his passion.
[remove Tatoo if you are short of money and just use Grafitti or nst for some poor marking of strokes in 3d model and end the texture 2d painting over it with GIMP. And then it’d be 80$ in total ]
[ tip: ultimate unwrap allows you to load th etexture over the model, and as you go painting in GIMP, each time you hit ctrl+s to save, Unwrap3d updates the texture ove rthe model, so you see the changes.If you put the windows one besides the other, is not 3d painting but is easier than only 2d. ]
Arf… Seriously, i am not gonna write this much for much longer…so that’s why I suggested collecting these paragraphs to be sticky, I am not sure if I am hanging here or just making casual visits…
oh, well, stick it with your bookmarks 
This post explains the EASY way. Many times easier than Blender or Quake Modeller’s ways (even though, Quake modeller can do things not possible with all that pack, so comes handy also)
So the paying thing, sadly here means less frustration… 