Dark Horse has an interesting feature on their website: Every now and then they show all the stages in the making of a comic, from script through thumbnails, pencils, inks, coloring, and lettering, and they do it for five or six pages, so you can really see how the story develops. The latest example is issue 1 of Baltimore - The Plague Ships, written by Mike Mignola and Christopher Golden with art by Ben Stenbeck. It's a must-see for those who like to watch all the parts come together.
Elsewhere on the site, you can watch Chris Scalf's cover for Star Wars: Blood Ties unfold in a three-minute video. The cover was done entirely digitally, and the process, from a single rough shape to the complex final product, is fascinating to watch.