Back when I made these, I did them up first as shaded drawings with pencil and paper. Then I scanned them and colored them in Photoshop. These days I draw in Photoshop as well, mostly because it's easier to deal with minor mistakes - A head that's too big or too small can be resized instead of needing to erase it and start again.
You need a sort of happy balance. Red Alert 3 was pretty loud, too, when I played its Beta. I'd point out Doom (yeah, it's nearly 20 years old now) which had a good balance of desaturation and bright colors so you could see everything clearly.