I'm no expert, but pretty sure most modern engines use standard file formats like PNG, that can be exported by any image editor. Even if you mean spritesheets, e.g. for animation. So just use whatever, it should be fine.
Dear NTTP: Thank you for your response. do you know any good free sprite makers?
I tried Piskel for a while. It's nice, if you don't mind using a web app. Even has animation support.
