I use Preview, though my needs aren't high. The Mac has no icon format. PNG works the best though. To get the icon in place open your new icon and do +C. Then click on the app or whatever that needs an icon and press +I. Then in the top right corner, click the icon and press +V.
Apple includes an application called Icon Composer with their developer tools, which you can find on your Leopard DVD or on Apple's developer site. Icon Composer presents you with several drop zones, one for each size of image an icon should have. If you drop your desired picture into the largest (512x512) one, it'll give you a few options, one of which is to resize that image as necessary to use for all of those sizes. Unless you have multiple icon sizes of your own prepared, that's probably the one you want.