There are a lot of options for each–get a good book on scenery, as there are far too many options to explain on a board like this. Rivers (and other water) can be simulated with clear varnish, paint, glass, plastic, epoxy and several other compounds. Mountains can be made from plaster and paper towels, expanded foam, Sculptamold, or glue. Tunnels (the holes themselves) are made from the same thing as the mountains (since tunnels are normally found in mountains or other scenery.) Retaining walls can be purchased, or made from wood or sheets of textured plastic or from plaster casts.
I would check out your LHS and see if they have any of Model Railroader’s “How to” tapes. I’ve looked at these several times and I find them to be very helpful. One of my LHS’s will lend me the tape for free. Some might have a rental fee, others might sell them,