I know a few of them were done with CGI (some more obviously than others), a couple look like they were just painted (digitally?), and the rest were painted/photographed and photomorphed together. There are a number of programs out there that will take an image and blend it into another using automated or user-specified reference points.
I can't recommend any specific programs, as I've never done this myself, but a few google searches for photomorphing tutorials should help you out. There's probably a good Photoshop technique or two for it also. Photoshop is amazing.