I've grown to like the sprite editor in GameMaker, it's straightforward to use and has a nice way of handling alpha that allows a lot of control. I just edit the sprite and save it as a PNG. Along with the sprite editor you can also test out tiled maps, animations, anything you need really - even prototype your game or ideas inside GameMaker.
Also, GameMaker:Studio is free until you want to release a finished game on a platform, so if your just using the editors etc then you don't have to pay for anything.
I have Pro-motion, and really do not like that program, the damn thing doesn't even support alpha. I used to use PaintShopPro9, which is a great all-round package, but for straight up sprite editing, well I have yet to find something more direct and useful as GameMaker.

I got a fever, and the only prescription, is more memes.
