The common tools would be photoshop or even something as simple as Microsoft Paint or Paitbrush for mac. It really depends on how you want to do it. My guess is that not many people here are creating animations and images from scratch.
Once you have created your images, you can then use the DGLux Frame Animator widget in the Media category to put them together into an animation. I would recommend taking a look at some of the existing animations and the image sets that go with them. For example if you want an animation of a fan you just produce a set of images where in each image the fan blades are rotated by an even number of degrees.
For example take a look at the files in /web/modules/dglux/web/packs/HVAC2/Equipment you will see:
These make up one of the HVAC+ equipment animations. Try adding one of the HVAC+ Fans to your DGLux design and then look at the setting in the property inspector. Under the Frame Animation section you will see how it is put together. I've attached a screen shot to help.
Hope that helps,
Attachment: download link