The Art of Noise (no, not the band...)

Tony Palermo has put together a very impressive primer called Sound Effects-The Art of Noise, which details how to create your own SFX, including many classic radio play techniques.

Snip:

Tony "Sparx" Palermo is a sonic showman who uses voice, music, and sound effects to create worlds before your very ears...Tony's worked for the United Nations, public radio, audiobooks, theaters, museums, schools and colleges across the world...Tony's RuyaSonic Radio Drama Resources website is one of the most extensive collections of do-it-yourself information regarding radio drama and sound effects to be found on the Internet.

Link to the how-to section of the site.