I just used the montage command-line utility from the ImageMagick suite (as described on their website). Not exactly a friendly option, but it did the trick for me at the time.

You could use a map editor like Tiled than make a screenshot. Or an image manipulating software like Gimp or Aseprite.

A good option for editing sprites online is called Piskel.  It is free, the UI is great, there are a lot of useful options, and it is amazingly simple to use.  If you make your sprites in that and export them to your computer, then import them as a layer in Gimp (also free) or something else with more composition options, that may be a good plan.

 I would probably advise against Aseprite.  I bought it for $15 and realized it wasn't worth the money.  Hard to keep a good workflow, the UI is terrible, and a lot of the features they have aren't very useful, while it is missing a lot of features that standard editors have.  It's still in development though, so it may improve with time.

The way I understood his/her question is that he/she wants to build a mock up scene. Using alread existing sprites to compose a level for an Illustration or something.

starting from single sprites, which is the best software / tool to merge them in a single picture, like the ones many of you are using as preview?

 

I think for composing a map editor or an image manipulating tool like GIMP is a very good choice.

Regarding Aseprite. It's my main Pixel Tool nowadays and comming from Phostoshop and Animation software the workflow is one of the best I ever had in any Graphic Tool. That said it took some time to get used to it. And the HSV editor sucks major balls.

Pisket is a good tool but I found it very boring to work with. 

Another option would be Paint.NET, especially the old 3.5.11.

Pretty straightforward.