which kind of thing will I need to my games (resources, mesh, bones, camera, ligths, scenes, etc)?
- keyframes (animation)
- vertex color
- general object information (this object represents a billboard/lightsource/effect in your engine)
Is It necesary create that files?
More or less, yes, because most other formats filled up with stuff you don't need. Best to have a binary, hi-performance format, which is very similar to your engine internal data structures (you just need to load them and don't need to convert stuff during loading time).
Thought, writing your own export is not the best idea, better would be a converter from a common format (collada/FBX) to your own format, regardless of the modelling tool you use.
Is there a file like Collada DAE that It has all information?
FBX is quite common and Open Game Engine Exchange seems promising.
Is It better create all my own files or read .blend file?
Create your own format (see above).