I have two related questions:
What are the tools you use to make icons? (valid for all platforms)
What are the standard sizes and file formats you use? (valid for all platforms too)
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+1 for IcoFX, makes it super easy to convert PNGs to Windows and Mac icons. It can also do editing, but there isn't much reason to use it over Photoshop or GIMP. Make your files 256x256 (512x512 wouldn't hurt though) to start with, IcoFX will resample for you and do the color space conversion. Since IcoFX only runs on Windows, you can use Icon Composer on OS X (it comes with XCode). Both tools can produce both Windows' ICO and Mac's ICNS format.
There are great free online tools to convert so you don't have to install anything.
Icons are usually square with the following sizes:
On the iPhone the game icon would be:
The Gimp is a nice, free alternative to Photoshop, and I've used it to make various icons. It should be able to natively save .ico files.