Hey mariah. You can technically create a signature banner in any program that can save an image in a web-friendly format (jpg, gif or png). But to create a banner with the blending/fading and text effects you see in most people's signatures, you need a program like the two AB101 mentioned - Jasc's PaintShopPro or Adobe PhotoShop. Neither one is cheap, although at $100 PaintShopPro is much cheaper than PhotoShop's $600 price tag.
BUT NEVER FEAR! There are plenty of friendly, talented, and at least partially sane folks on the Buffy-Boards who would be more than happy to hook you up with a stylin' signature banner. Check out the section of the boards called Carpe Noctum to get the offical banner-makers list and to see the nifty and interesting things the Buffy-Boards crack art department is working on!