For this bg I started with an idea of a house in the woods. Then gathered some reference, and then made about 20 thumbnails for it. I went with number 16 on this page.
After that, I made sure the image had the right dimensions and nailed down my composition.
From there I went to a quick lighting test in photoshop.
Then printed this out and went back to nailing the little details, and to make sure everything was pretty solid.
Once I'm happy with the last stage, I go onto doing a final pencil render, first tracing the large shapes and then going in and knocking out the rest of the details.
Finally after all that I scan that image in and tone it in photoshop.