All I beg of you is that you start using the simple stuff, that is, to make simple stuff.
Don’t do what I did. When I was new to game programming (note that I have had 4 years of programming experience beforehand), I had launched a website for a large MMORPG that I planned on developing. Needless to say that project never worked out as my newbie-self had planned. That bit me in the ass later when I realised that I am in a thing called reality: Game Development does not work that way, and you must work to get things done. But that was roughly 3 years ago, so I can forget about that horror story now 
This advice probably isn’t good at all, but I would probably start making something really simple like Pong or Breakout using something like Java2D, then work your way up to recreating those games in LWJGL, MERCury (Shameless Plug :P), LibGDX, Slick2D, and whatever else that comes to mind.
Now, I know this may sound stupid, but please don’t watch Java Game-Dev video tutorials on sites like YouTube, you’re just going to find people who don’t know what the hell they’re talking about (TheChernoProject, DesignsByZephyr, etc… The list goes on). I personally am not a big fan of programming tutorial videos, but that’s just my opinion. AGAIN, this is only my B.S. opinion, so if you want to learn from video tutorials go right ahead, I just wouldn’t recommend it very much.
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Now, with my annoying and pointless ranting over, I would really recommend researching some classic game design before you dive really deep into the programming/graphics field. There are some good channels on YouTube such as ‘Extra Credits’ (and many others I can’t think of at this time) who make videos regarding certain game-play mechanics as well as certain design ‘NO-NOs’ that gamers tend to hate. It would probably be a good idea to look into that before you start making original games of your own.
As for art, there are many places that you can go to learn pixel-art and some other things to get you started. Art is a hit-or-miss in game development. A while back I made a post regarding this topic, I highly would recommend that you read it.
Music is a skill that can be learned later in game development, but it’s hard for me to really give you advice on this topic. I have been playing Saxophone, Piano, and Guitar for years now, so it’s hard to really give advice on where to exactly start. However, if you do have a bit of musical experience, I would recommend software like PixiTracker, and FamiTracker if you are a bit more advanced 8). As for sound effects, I would recommend programs such as SFXR or BFXR (Web Based). They’re great for competitions like Ludum Dare as they quickly randomly generate sound based off of noise.
Sorry if I sound arrogant, “Good Advice Is No Advice”, as they say. Good luck with your journey in game development!