A modeling program is used for generating the polygons and such, as well as assigning textures to various points. That data is then fed into a rendering program that does a whole lot of fancy math and calculation to turn that raw data into the gorgeous images Evil is posting. The details of how exactly ray tracing works are a bit complicated to go into here. For a light-hearted take on the technology, there are open source programs out there that will let you build using virtual lego blocks, and then you can feed those files into one of several rendering applications. There are a number of fairly good open source ones available, and a finished rendering of various lego models can look good enough it's hard to tell they're not pictures.
Edit: As an aside, a lot of modeling programs include a renderer, but generally you get a superior quality render out of a specialized rendering program. It's also important to point out that a good quality render can take quite a while, as Evil pointed out, the ones he's posting are 7+ hour renders.
Edit 2: See here for lego modeling software. For rendering search for a program called povray or POV-Ray.
Edit 3: POV-Ray here.




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