Could anyone fill me in on the process that goes into developing a sprite, or link me to somewhere that covers the process?

I'm interested to see now it goes from conception to final product.

Thanks for your time and effort.

You can probably just google this, there are a ton of sprite-making tutorials available. Just be aware that low-res pixel sprites, high-res pixel sprites, vector sprites, and rendered-from-3D sprites all have a bit different process to develop them.

But the general process is this:
- Verbal description of character, creature, or object
- Verbal description of animation needed
- Concept sketch of character, creature, or object
- Pencil test of animation
- Colored finished version of animation

Do you want "old school" or "new school"?

Old school:
http://www.petesqbsite.com/sections/tutorials/tuts/tsugumo/
http://pixel-zone.rpgdx.net/shtml/tutorials.shtml

New school:
http://forums.tigsource.com/index.php?topic=4307.0

Some people prefer to hand-draw pixel art, while others (such as myself) prefer to model the character or object in 3D, then render it to a series of small bitmaps.