paint.net is my friend, you can get it at http://www.getpaint.net :d
well I sometimes use gimp but mainly Microsoft power-point (it has a remove background thing):D
Personally, I have GameMaker. While in of itself isn't for spriteing, but it does have a sprite maker which is really good (does transparent well). The only downside that I found is that there is a certain size limit.. Unless you can make the area bigger, I haven't found that out yet. Other good part of the sprite maker is that it has a blend tool, making some colors you usually can't get easily. Just my two cents on the subject.
Thanks everyone! I have paint.net now and I'm happy with it.