More in depth please? You want an application that creates full standalone programs/games? Well, if you do, try UDK or Game Maker 8
Game Maker 8 is
[+] Simple to make a basic game
[+] Built in paint editor
[+] Nice Community
[+] Many tutorials/Examples to build off of in their Community Forum (YoYo Games)
[-] Limited to almost complete 2D
[-] Programming language to make advanced stuff
[-] Have to buy Pro Version to obtain some features
My Rating: 7.4/10
UDK is
[+] Amazing Graphics
[+] Amazing Customizability
[+] Great Community
[+] Complete Modifiable Source
[+] Free!
[+] Many ways to approach level design (Such as creating light through Kismet, or the engine)
[-] Moderatley difficult to learn
[-] Hard to master
[-] Many confusing scripts and documentation
[-] One thing wrong in source, KABOOM!, you would need to fix before Engine will start again at all
My Rating: 8.9/10
Torque Game Engine is:
[+] Good graphics
[+] User Friendly
[+] Great shading
[+] Pipelining
[-] Bad documentation
[-] Non active community
[-] Cost a WHOLE LOT!
My rating: 7.2/10
FPS Creator is:
[+] Large Community
[+] Many addons
[+] Supremely easy
[+] Drag n' Drop
[+] Multiplayer option simply enabled by the click of a button
[-] Limited game creation space
[-] Cannot create next-gen graphics
[-] Hard coding language
[-] Not very good lighting
My rating: 6.7/10
To build your own engine: Learn C++, Java, Ogre Graphics Rendering
^Not recommended without practice.