There are loads of programs you can get for making animated objects (characters being objects).
Some of the stupidly expensive ones being things like
Maya and
3DSMax and some of the cheaper ones being things like
Milkshape or
Gamespace.
There are free ones like
Blender and
Deled but they've got drawbacks in that, everyone seems to moan about
Blender in one way or another and claims it's no good for actually modelling, and
Deled was previously just a map editor and acquired some animation stuff recently so it probably isn't as good as some of the other ones.
What everyone seems to do (including myself) is just invest like $20 in getting
Milkshape and use that because it's cheap, does everything you'd want and exports/imports lots of different formats.
But heck, I know there are loads of modelling programs out there, the last time I checked what was available was so long ago so the ones I saw up for sale might be free now or there may be new ones entirely.

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