For models 3D Studio Max or Milkshape 3D (Milkshape is cheaper but 3D Max has more tools), I use Jasc Image Robot to make skins, and HL Model Viewer to look at the finished models & skins.
What he said (^^^) for models, though I could never work out 3D programs to save my life. Any decent paint program will do for skins, and as the man said, Half-Life Model Viewer is invaluable for looking at what you're doing.
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Skins: Paint Shop Pro, Photoshop