Here is a tutorial on how I make my grungy brushes. I'm sure other people do it differently, so if this tutorial doesn't help you much - you can always look around for other ones.
Start off by finding a picture with a good amount of detail. For example; use Google Images to search for a picture of a flower, tree, animal, celebrity, etc. Make sure the picture is fairly decent in size, the bigger the better.
Paste or open the picture in Photoshop. Go to the Image menu > Mode > Grayscale. This will make the picture black and white. You never want to make brushes in color. You may also want to know that anything that is white (#FFFFFF) is not part of your brush, it will not show.
Now go to the Image menu > Adjustments > Threshold. You can mess with the settings by dragging the arrow back and forth under the graph or just type in a new number. Just make sure your picture doesn't show too much black or too little black. Here is a before and after of mine (resized).
Go to your Layer menu > Add Layer Mask > Reveal All. Go to your Filter menu > Render > Clouds. After this, you can keep playing around with the Filter menu to get different effects on your brushes. For example, I did (Filter > Brush Strokes > Angled Strokes). If you want to see the full version of mine - click here, but so you know it's a big image.
Edges too Jagged? Filter menu > Blur > Blur
Color too Light? Layers > Duplicate Layers
Once you are done designing your brushes, go to your tool palette, and click on the Lasso tool (2nd to the top, left side - under the dashed square). This is where you actually make your brushes - drag the lasso around each part of the image you want to make a brush. If you need to cut some pieces off to single out your brush, use the eraser tool. If you do that be sure to merge your layers (Layer > Merge Visible).
Once selected, go to Edit > Define Brush. You can name the brush or leave it unnamed, doesn't matter.
Here is an example of my finished brushes.
















