If it's possible, effects men always try to use the real thing. (See, for instance, this safe, which has been hauled into the sound room to make the sound of a safe door closing.) But when they need to imply more mayhem than can reasonably be recreated in a studio, they rely on a crash box, that wooden wheel that's sitting just behind the microphone. It's full of noisy metal, and depending on how hard you work it, it can stand in for anything from a car wreck to a falling chandelier.
Any time you hear a dramatic crash of thunder on the radio, it's coming from a big metal sheet like this one. Also good for making strange, high-pitched mewling sounds, which doesn't come in quite as handy.
For footsteps, SFX men use a simple plywood board. Sometimes it'll have a stone or travertine section, depending on the script. From there, the SFX tech will put shoes on his hands and mimic walking, using a heel-toe motion for a standard men's shoe and just the heel for the sound of high heels.
Those hoofbeats you hear when the Lone Ranger rides up? They're made with coconut shells, either on a walkboard or a box of gravel, depending on the territory.
A Guy Making Weird Noises With His Mouth
Okay, technically a "vocalist," but let's not stand on ceremony. Any time you hear jungle birds, a whinnying horse, or a rooster crowing in the sunrise, it's the product of one voice and a lot of practice.