I know of a few programs, but I don't know any free ones. The ones that spring to mind are included with Adobe Photoshop and PaintShop Pro. The one with Paintshop Pro (now sold by Corel) is available fairly cheaply I think as a standalone app.
Xara Xtreme can also do this really easily (and is now a mature and excellent graphics package - comparable with Adobe Illustrator for vector graphics but also includes bitmap editing - not particulaarly cheap). I think in the new year I will contact Xara and see if I can negotiate a discount on some of their products. They also do a screensaver generator - but it is template based rather than doing what you want here).
Not sure but I think CamStudio can output SWF files, and certainly KoolMoves can (not expensive for what it does).
I haven't got QuickTime Pro installed at the moment but I seem to remember that can export falsh files to, or is this just my imagination?
ACDSystems (of ACDSee fame) used to produce a nice program called FotoAngelo which generates screensavers very easily from image sequences and is quite customizable, but I am not sure if it is still available. (Seems to be available on a lot of the shareware sites at $29.95 with a free trail version).
Sorry I can't be more definite, there are still a lot of apps that I haven't reinstalled since my system reformat and I am reluctant to spend too much time on reinstallation at the moment as I have had a number of BSODs recently. I suspect these are a result of installing Outpost 3, but they released an updated version so I will give that a good try before I decide whether I should do a clean reinstall with a different firewall.