Hmm... I'd suggest GIMP and Inkscape. They are both free and very powerful software. In good hands they can become equally good as Photoshop and Illustrator. My experience is though that they are not equally easy to use but that is nothing to worry. You'll learn the basics quickly
For SFX? There are many. But I'd suggest looking for ready made sound effects. If you really want to look into creating your own you will need a microphone, USB powered audio interface and a digital audio workstation (Avid ProTools, Ableton Live, Presonus Studio One, Steinberg Cubase etc). I'd suggest Ableton Live for sound design of all those.