What programming language(s) do you know? If you know more than one, which would you prefer to use when programming your games?

Depending on your confidence and experience with C++ you may be able to start right away with developing games in C++. Look for a book called 'Game Coding Complete' which is a directx and C++ centric book which has a lot of useful information in.

If you do not feel confident with C++ and wish to get started quicker, you might consider also learning C# and XNA, which has a less steep learning curve and has the added advantage of being able to write and deploy XBOX 360 games as well as windows games. In this case look up "XNA Game Programming for xbox 360 and windows" published by Wrox.

As far as the industry goes, i hear that most game studios are using C++. It's down to you really, but the experience writing a game in any language carries over well to any other language as you learn it and expand your skill set.