There are a few, but they might be a bit complicated (music programs tend to be)

You have Famitracker, for nintendo like music
This one is pretty simple, but loops tend to click unless you edit them.

Anvil Studio, for Midi files (I wouldn't reccomend midis, as they tend not to sound very good.)

SFXR, for sound effects (Generates oldschool arcade sound effect)

If you can find something to convert XM files to MP3/wav, you can use tracker programs (such as milkytracker) (XM files are like Midis on steroids, and are actually good. If converted to MP3, you can have relatively easy to make music pretty quick)

And, for sound/song editing, get Audacity. It's the general purpose thing for audio editing.

Famitracker for the NES sounds (As Yowwie said)

MadTracker is also a good program to use. Various samples and VSTs to get the desired atmosphere for a certain area.

Also FastTracker

Fruity Loops or FL Studio to make once again BGM for desired atmosphere.

And Acoustica Mixcraft is a good one, though it uses pre-recorded sounds, you have to purchase the full version to record and add new sounds.