Graphics gale is good for making sprites and animations. Its free too, the full version however, lets you export to gif.
humanbalance.net/gale/us
Another program (commercial) would be Pro Motion. I don't know much about it, but it looks promising. You have to pay for the full version though, I think. Graphics Gale should be fine.
cosmigo.com/promotion/index.php
And these sites have some royalty free graphics.
opengameart.org
lostgarden.com/search/label/free%20game%20graphics
pousse.rapiere.free.fr/tome