Well…
Depends what you are trying to do, and what you need or want software to accomplish.
There are online guides for making your own jigsaw puzzle, and some specifically for making them with lasers.
There are plug-ins and add-ons for the various design suites (Illustrator, Corel, etc).
You can find blank puzzle shapes with google’s image search,
There are math-based programs if you work that way…
There is inspiration all over the place if you want to get away from the traditional shapes. These folks do awesome laser-cut puzzles with shapes inspired by the nervous system:
http://n-e-r-v-o-u-s.com/customPuzzle/