Game modding (like he mentioned for GTA) is very legal, and has been a way for people to extend their favorite games. The tools needed to modify or "mod" games are generally published by the game making company. And many games, at least for the PC, can be modded.
I've personally playedd with modding Battlefield 1942 and Battlefield2. And I've dabbled with Half Life, Crysis, and the unreal engine. I've also used Virtools by D'assault systemes, which is a physics engine, and you have to do the programming yourself.
I would HIGHLY recommend using an existing game and mod it, especially if you are wanting to make a first person shooter, or any other style game thay already exists.
With most of the games, the process would be:
Play the game and become familiar with it.
Start playing with the map editor, learn how to make entire maps from scratch.
Learn how to import buildings that you have made in SketchUp. This can be a difficult process in some game engines, requiring that you export from SketchUp to 3dsmax or Maya.
Then beyond that, learn how to make weapones.
And then characters and rig, skin and animate them.
etc.
Its pretty fun to see a building or object you made in SU show up inside one of your favorite games.
Chris