First, you need Adobe Photoshop (or PaintShop Pro...but I like Photoshop better) and as many plugins as you can find. I highly recommend AlienSkin Eye Candy and Kai's Power Tools.
Once I've chosen what action pics I want to use, I draw it out on paper so that I can have a 'gameplan' (it also helps me to pick which photos to use - since the overall look is effected by what way the guy is running, etc) for what to lay out where.
After that, it's pretty easy...I start with a background...sometimes the theme is deliberate (SwingTheSpiral, FavreFan1998, yours) and other times it's just what comes out when I play with the plugins. After that I crop my action photos, resize them to fit in the sig area, and plop them in. Lastly, I put in the name and that's about it.
Sometimes (i.e. OneManShow26) I add things like lens flares and shadows other lighting effects, but they aren't always appropriate.
Basically all it takes is a steady hand, some patience, and a BUNCH of time.