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I wish I could do breathtaking concept arts for architecture and machines, like in the concept art used in movie pre-production (i.e. "Avatar").
What I should study, and how I should train myself to do that, apart from obvious training in perspective and proportions?
Study drawing actual architecture and machines. There a number of reference books on architecture around the world and through history, and a number of books on various machines throughout time. And you can always go around and draw actual buildings and interiors around you, ditto with machines. Pretty much you have to have a good grounding in drawing actual examples, and you take that knowledge as the basis for drawing the fantastic.
You may want to check out James Gurney's Imaginative Realism for how to apply real life knowledge to fantastic creations.
Feng Zhu is indeed very good and an excellent teacher. However, even he states himself that what he does in those tutorials are just "tips and tricks" and that a solid grounding in fundamentals is what's really important. A professional can apply what he or she learns from Feng's video easily, but a beginner trying to imitate what Feng is doing in those tutorials will come up way short because of a lack of fundamentals. Since you're interested in tech and architecture, the way to go is learning perspective which will allow you to draw something three dimensionally, from all positions and angles. Scott Robertson has some good foundation dvds on this subject. Hope this helps