I’ve heard a lot of people say that GameMaker’s built in Graphics Editor isn’t up to snuff. Now, while it ISN’T up to the standards of Photoshop or GIMP, it is certainly a lot better than, say, Paint or equivalent programs. I’ve had a lot of fun working with the built-in Graphics Editor, and it makes creating good looking graphics a lot easier.
Anything more complicated than pixel art should be created in some other program, like GIMP or Inkscape. But after-effects and special-effects are easily applied in GM. In fact, GM works best with its own Editor. For example, here is a spiral that I built in Inkscape. It looked really bad at first, but after a quick bit of work with the GM Editor, it looks fantastic.