Jclisenby has it right. Once you get the sdk you can use xcode to build your apps. There are a few setup steps you will need to do before you can actually put the game on an actual device.
A lot of game developers also use game engines like Unity3D and Unreal Engine (UDK) to make more advanced games. It's easier to use these engines than trying to accomplish the same results the standard sdk. Of course that's just a matter of personal taste in the end and there are many game engines out there to choose from these days.
But yeah, Apple's Xcode will get you started and the link Jclisenby gave is a good place to start.