I do my stuff with Photoshop, because it's better if you are trying to do some semi realistic, or realistic stuff. I use .PNG pictures. But if you need vectors, then you have to use illustrator. Try not to do too symmetrical stuff, break the shapes and learn using little perspective. (2D assets can be drawn in orthographic perspective.)
Also little tricks for depth is: When things are far away from camera, use cold colors. When they are really close, use warm colors. You can also fake depth of field with blurring background stuff little and stuff that is really close of camera can also be blurred. As an example of use of blur, see game Limbo:
For UI: Make it clean. Use margins and keep lines straight. When you have basic knowledge of those rules, you can start breaking them. <img src="{SMILIES_PATH}/icon_e_wink.gif" alt=";)" title="Wink">