It's not often I'll endorse something, but here's a tool for all you budding designers out there. It's called Rotsprite and basically it does what Paint.Net fails at. It can rotate sprites to any angle without blurring or anti-aliasing the image. Basically this means you'll get a clean rotated sprite in a matter of a few clicks. It's simple to use and makes spriting that much more of a breeze, plus it's free to download and only takes up a measly few KB of your hard drive.
Here's an example:
Paint.Net Rotation
RotSprite Rotation
As you can see, you get a pretty decent sprite out of RotSprite when you rotate an image and the one above has had no editing done to it. That's how it appears straight out of the program most usually. Some may require slight edits here and there, but they will always appear clean and crisp.
RotSprite Info/Download:
http://info.sonicretro.org/RotSprite
Happy Spriting!