I just started studying Blender and my goal is to create a 3D game.My question is simple, everything that is textures of fur or hair in the characters is first done in Blender (or a similar program) or in a videogame engine like Unity?
Sorry for the bad inglish
Well both, but it depends on how complex the hair is. Something like this: https://cgcookie.com/course/creating-hair-cards-for-realtime-characters was done in Blender and it uses fancy textures and modeling to make realistic looking hair. It's static, but it looks good. If you want something realistic that moves around like real hair you're looking at complex shaders like this: https://www.youtube.com/watch?v=p1JZijEO3B8 that uses compute shaders and mimics hair physics. Hair and fur in general in games can be quite expensive for games that's why they tend to have lower poly hair that doesn't move around much. At best they might rig the hair to look more realistic.