Most of the vector images that I have done for web development are done in Adobe Fireworks and Photoshop. I have found that Fireworks seems to support web development more closely to the final web product than other Adobe programs. I have also used Adobe Illustrator for larger vector images that that need to be scaled to different sizes from page sizes to large mural images that I have done for trade shows.
All of my raster graphics are done in Adobe Photoshop. I first do my preliminary drawings on paper then scan them into Photoshop for rendering. Photoshop allows me to to explore different color options move elements around for the best composition possible.