All of those are actual effects that can be done even with Audacity. You just record yourself to have a foundation sound to work with and then combine effects, depending on what you're after, for example, negative tone and delay/reverb. This is an easy way to create the roar effect. For screaming you will need a low delay echo, e.g. 0,01 repeated by a lot, until you get the effect you want.
As for movement, the only thing I used to know was that for snow you can get a paper pipe with rice in it, swining it up and down slowly. For actual footsteps (e.g. from iron boots), you can record the sound of an iron hitting on the table, duplicate it, tone it down and add alternate whoosh effects, in every duplicated layer, to achieve the "movement". Movement in dirt could be made by taking a bunch of pebbles and forcing your first in them, abruptly. The returning sound is pretty realistic.
For the rest, I never tested them myself, but they still can be done with effects and Delay usually is your best shot into sound effects.