Let's get straight into how you create these types of trees, first off, I'm using Maya, but the theory can be utilised in any 3D package available today.
Firstly, in Maya (or your respective 3D package), create your base model, your base model is essentially the tree trunk, for which we will later apply the sprite particles. For quickness , I have a tree trunk that I built earlier.

Also, again, for quickness I haven't spent the time to UV Map the tree properly, as I really only want to show the technique here rather than a step-by-step process on creating a tree. So, for this example I have only unitised the UV's on the tree and applied one 128x128 texture map to it, as seen below :-


Now that you have done all this, turn ON 'Snap To Points', it's the icon at the top with the magnet and dot :-

Zoom in on the top of the tree branches in Maya, and start snapping particles to the top of each branch tip, because you have snap to points switched on, it will snap perfectly to each tip, do this once for each branch tip, pressing Enter after you have snapped to each branch tip vertex, because you are pressing Enter each time you snap once, you will create 9 particle sets in total, named Leaves1-9 respectively, you will need to run the last command each time you press Enter, and change the named accordingly, Leaves2, Leaves3, etc or you can select the last command used from the side which should have the particle tool selected, doing it this way is quicker, but you will need to rename the newly created particles, as they will be currently named particle1-8, there's no great need for renaming but it may help for clarity, anyway, your probably wondering why you couldn't just draw them all in one go, if you did you would've had problems scaling them later :-

Continue until you have drawn a point at each branch tip, because you have set the amount of particles to 6, and the spread radius to 5 you will also have particles that are away from the tree too, this is ok, and will aid in the 'look' of the tree later. Now you should have something similar to this diagram when done :-

Now, the important part, with your current Particle object still selected (Leaves), press CTRL + A to bring up the Attribute Editor for it, if you're not in the LeaveShape TAB, change to it now, and scroll down until you find the Render Attributes section, open it up and where it says Particle Render Type (it will be currently set to Points) change it to say SPRITES. You will notice that your particle points change to sprites (square boxes) within your scene, now do the same for the other particle objects, changing them all to sprites.
Now, we need to adjust them a little first before the next stage, as currently they're not the correct size. You should have something currently looking like this :-

Ok, open your Outliner, Window > Outliner, and select your first particle object, Leaves, now press CTRL + A to open it's attribute editor, scroll down until you come to the Render Attributes section again, click on Depth Sort so that it is on, and now click on the box that says Current Render Type. Once opened, set the values for both Sprite Scale X and Sprite Scale Y to 6, repeat again for the other particle objects until they are all done. You should now have something similar to this diagram :-

Great, now we're getting somewhere, not much further to go now. Open up your Hypershade and create a new material, a Lambert Material is fine, now open up your Outliner, select all the particle objects, and then right click on your newly created Lambert Material (Best to name it where possible, I used Tree_Leaves_LambertM) and then select Assign Material To Selection, press 6 in your perspective view to put it into Textured Shaded Mode, now deselect everything. Go back to your newly created material, the Tree_Leaves_LambertM and double click on it to display it's attributes, now make sure you have a texture to hand, ideally a texture which contains an alpha channel and has something similar to tree leaves within the texture, now map this texture into the COLOUR node of the Tree_Leaves_LambertM. Now you should get something similar to this :-

Try rotating the viewport to get an idea of how the tree will work, if you are getting a lot of popping don't worry about it too much, as the programmers will be able to do lot's of fancy sorting algorithms within the engine you are designing this for. Now that's it really, as simple as that, and these kind of tree's look great, just look at some of the games using these types of tree's to see what I mean, Ridge Racer for example.
Download The Maya (4.5) Scene File : - Maya Scene File
NOTES :-
Now, some important stuff, here's some tips and techniques to add to this tutorial : -
You can change the particle objects to plain old polygons and texture them the say and mark them with with a special name which will be recognised by your programmers, for instance, Leaves_CF, the _CF could be used as a flag within the game engine, so that the programmers would know to set 'those' particular polygons to always camera facing.
If you stick with the particle route (although this can also easily be done with polygons) you can animate the leaves (particle/polygon objects) to gently sway in the wind and so on.
Thanks for reading and I hope you find this tutorial useful.
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