Most people make their sigs with Photoshop. As others have stated, GIMP is a free program similar to Photoshop. It's not as powerful, but you can do some amazing visuals with it if you practice it.
If you do get photoshop, I suggest looking at tutorials, otherwise you'll be completely confused.
I've been using it for 2 years now, and I'm still not great at it. Plus, I'm still learning things about it.