ALL FREE TOOLS:
I like yEd from https://www.yWorks.com (If you like to move your mouse/cursor).
To render DLS I use http://blockdiag.com/en/actdiag/index.html
(PlantUML is complexer: it allows more complexity in your diagrams, but you have to write more code to get the same diagram rendered).
I think this page is very usefull for questions like this: