In almost all cases, you start making a new material with the diffuse-map. Diffuse-maps are almost always created manually in an image processing program, e.g. hand-painted or delivered from a photograph, similar to the way “old-style” textures were made in the past. The diffuse-map shows material color when the surface is diffusely lit. Thus, you should not draw any hard shadows into the diffuse-map - they are automatically created by the engine later from the information that comes from the normal-map and the light sources. You may however, in some cases, draw some soft shadows into the diffuse map, a sort of “reachability factor” (“How hard is it for the light to reach a certain spot on the texture?”). This implies that a diffuse-map that shows for example corrugated metal or a rough rock surface could be an image that only has a single shade of grey! Also note that the final material when rendered by the engine tends to look best when you use pixel values of medium brightness. Moreover, high-contrast and high-frequency components should be used with care in diffuse-maps, as such components often interfere with normal-maps later, compromizing the effect of dynamic lightning. Also the specular highlights might look strange with such diffuse-maps.
Specular-maps (sometimes also called gloss-maps) define the shininess of the material. They are conveniently created together with or derived from their diffuse-map. Bright values mean that the material is very shiny, dark values mean that the material is mat. Note that specular-maps are not limited to gray-scaled images: Their tone (color) modulates with the color of the light source. Specular-maps often have the strongest impact on dynamic lightning. Note that for many materials that only have diffuse light reflection characteristics (e.g. sandstone), specular-maps can often be omitted entirely.
Luminance-maps define the light that a texture emits. As with specular-maps, they are easiest created together with their diffuse-map, and often very simple in nature. The light of luminance-maps is local to the texture, and does not cast on any other surfaces or objects. Typical occurances for luminance-maps are with LED panels or computer-screens, but frequently they are not present at all, because most materials do not actively emit light themselves.
Height-maps (also called bump-maps) are gray-scale images that define the height of a surface: dark is low and white is high. They often only serve as an intermediate product for creating normal-maps. In fact, Cafu converts all height-maps to normal-maps internally before use. Some people convert the diffuse-maps to gray-scale images in order to obtain height-maps, but this does almost always yield in bad quality - this is just a lazy trick that one should never use. Instead, height-maps should be painted or created from scratch. This is almost always a very difficult task though, and works best with either natural or organic materials or high-frequency components like scratches, dents, and so on. Another method is to obtain height-maps from the depth buffer information of some rendered geometry. In this case, however, I’d recommend to skip height-maps entirely, and render normal-maps directly.
Normal-maps are the most important component in dynamic lightning. They contain information about the shape of the surface by color-encoding the surfaces normal vectors. They are normally never hand-made, but either derived from height-maps or created from true 3D geometry. For example, plug-ins for Photoshop as well as for TheGimp exist for converting a height-map into a normal-map. For normal-maps that represent technical features like the example panel above, the best results are achieved by creating them from 3D geometry though, which for example is possible with 3D Studio Max. Please note that combining diffuse-maps and normal-maps that both have high-frequency components (and the diffuse-map possibly highly contrasting colors) tends to compromize the effect of dynamic lightning.