Well for Windows security-oriented dev, try C. Some are just disgusted by that OS, but if you're not it can be a very interesting playground. (Start reversing it and take a ticket for a ride in the dark undocumented ring0 world hehe.)
In the *nix world, C is still the key language that allows you to do anything you want. Also Perl / Python might come handy, I would say.
SQL is just a request format so if you know how to use it, that's good, if not, it won't that hard to learn IMHO. It's not a programming language, but is useful for data storage & handling (got to know how to parse it too).
So in a letter : C. :)
Then for protocols, well, use of TCP & UDP should be well-known. And I guess it's quite the thing.
About anti-cheat purpose : try to get to know PunkBuster and all its abilities, and know how to use it at it's best. It is indeed a great tool to protect your server. But you may already have realized that. ;)