This is something I'v really been wanting as well. Crazy as it is, lately Ive been using GameMakers sprite editor, its quik easy, and I can control it all very easily. Whenever I use one of the bigger paint programs(PSP8, or GIMP), it just seems to make the process of creating a small sprite complicated. Like I said its a crazy way of doing it, but it works, When I feel a bit more adventurous I use 'IMage', which is actually pretty good, heres a link,
http://www.memecode.com/image.php
, hope that works all right. I mage is probably your best bet, and if your stuck, theres always Paint, dont laugh, it works fine for simple sprites and what not. Good Luck