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This is a walk through of my painting process when painting "I knew it would come to this".
This isn't exactly a "tutorial", because my method of painting often involves doing things in a manner that isn't technically "the correct way", so I wouldn't necessarily suggest it to be the best way to go about things.
I just do what feels right to me at the time, and this is the way this picture took shape.

As I am more comfortable with photoshop than other programs, so this walk through is done in photoshop. However, almost all of it would be applicable to other programs, and a great deal of it to traditional media also.

Step 1

I start with a sketch, and some colour on a background.
The contrast has been upped in this picture (note that what will appear as grey later is can actually be seen here to be blue when lightened), usually the sketch would be much paler and more difficult to see.
The purpose of the background at this point is to simply set the mood, and make sure I'm working with the right feel in mind.

Step 2

I put my sketch on a higher layer with the setting "overlay".
I decide on a light source (the upper left corner) and keeping it in mind, start to draw in very rough shapes.
some people like to just use a brush on high opacity here and just block the whole thing in. Personally, I feel that once you do that, you never really get the depth back in again, so I use my palette (that mess of colour by my rat-blob) and select the lights and dark from there, making sure I actually DO use the darkest colour there, since once I put the detail in, I'll feel too timid to start throwing in darker and darker colours.

Step 3

I keep adding colour with my medium opacity brush, building up layers. I add in some details to make it more recognisable as a rat rather than a decomposing fruit.

Step 4

Only at this point do I start adding more highlights - I find it important in my work to build up shape using shadow over highlights, so before I start highlighting, I like to know that I can see some sort of shape already.
I've also taken my line sketch, turned the opacity way down, and then merged it down onto my main paint level. I start painting over it, so soon nobody will know it was even there (oh except for you! lucky, lucky you!!).

Step 5

I start refining.
I'm putting wrinkles into the skin, and using very low-opacity washes of the purple colour in my palette around the rat's eyes, nose and ears. Skin is thinnest in these places, so blood is more visible under less layers of skin.
I'm also using very faint washes of the blues in areas that are half way between highlight and shadow. Just at the very edge of dark shadows, I'm putting in a bit of the purple and brown.
For shadows and highlights to really "pop", it helps enormously to have a subtle contrast of warm and cool. On skin (even rat skin!), the cool is usually the highlight, and the warm the darker areas.
At this point, I'm also regularly visiting my rats to check just how their faces look.

Step 6

More refining - I'm adding in more skin folds, being sure to add highlights sparingly.
I'm using the purple on a very small, low opacity brush in some of the folds of the wrinkles. Too much, though, and my rat will look like he has some serious type of skin irritation!
I'm also being careful to try to let my creases look natural - too many parallel or of the same size, and it'll start to look seriously weird. It's also important to keep in mind the shape of the rat to get an idea of where wrinkles would form, so at this point I'm scrunching up my hands a lot to see where the wrinkles go, and just how they look.
I've also given his ear a shadow (remember where your light source is, and that wrinkles aren't a flat surface!).

On to the next step!!