Game Development using SDKs?

Lately I've been looking at different game editors and game engines (Cry engine,Unreal editor,UDK,The F.E.A.R. Public Tools) and was wondering is it possible for an individual like myself to use one of the game editors or engines I mentioned (Or possibly another) to create my own game and if so how much would it possibly cost? Also I know that certain companies like UniSoft and even the US Army has done this but how does an individual go about doing this?