Photoshop or Corel-Photopaint. I am normally much more fond of Corel, but it is true, that for animations, Photoshop is better, because it supports PNG with transparency.
Building an animation can be a long work: I first draw the sequences of a figure by hand on transparent paper, scan them in and then rezise and colorize them in Corel. Then I build the PNG files (with transparent background) in Photoshop:
In the GE I add these files in the "ad animation" function of the actor and I have a custom animation!
(If you use IE you will not see the above files with transparency.)