There are several banner formats. A banner can be a .jpg or .png image. This is a static, simple image that can be done on various graphics programs. Use this software that will do the best for you if you decide to act on your own. But you need to know that in order for the banner to be really useful, it is best to trust the professionals.
It is very important what exactly you want to achieve in order to know what software to use. The most common format is flash, whose extension is .swf. The swf files are much smaller in size than, for example, animated gifs.
You should know that the idea behind the banner depends on the complexity of its design. No one claims that a banner with many animations will be effective, even on the contrary. Practice shows me that in Bulgaria we emphasize a good banner story. So good that it gathers a whole gallery of photos that you can't even upload in flickr or picasa. And besides the photo gallery, which should contain this 50KB little one, it should also contain a plot similar to a Turkish series.