If your using pre-made geographic divisions, you could use something like Qgis : http://www.xocas.com/blog/en/ubersim...pleth-in-qgis/
Otherwise, if you need to customize the borders, I don't know how it can be done with the software mentioned above.

I would probably use Gimp to make the map since you can do pretty much all you want once you get the hang of it.