Whatever is the macro support from your assembler, or whatever language you use (even C!), if the language is not expressive enough to you, you can have files passed through an external filter with a Makefile rule like that:
%.s: %.S other_dependencies $(FILTER) $(FILTER_OPTIONS) < $< > $@
CPP is truly not very expressive, but it's enough for easy things, it's standard, and called transparently by GCC.
As an example of its limitations, you can't declare objects so that destructors are automatically called at the end of the declaring block; you don't have diversions or scoping, etc.
CPP comes with any C compiler. However, considering how mediocre it is, stay away from it if by chance you can make it without C.
M4 gives you the full power of macroprocessing, with a Turing equivalent language, recursion, regular expressions, etc. You can do with it everything that CPP cannot.
However, its disfunctional quoting and unquoting semantics force you to use explicit continuation-passing tail-recursive macro style if you want to do advanced macro programming (which is remindful of TeX -- BTW, has anyone tried to use TeX as a macroprocessor for anything else than typesetting ?). This is NOT worse than CPP that does not allow quoting and recursion anyway.
The right version of M4 to get is GNU m4 1.4 (or later if exists), which has the most features and the least bugs or limitations of all. m4 is designed to be slow for anything but the simplest uses, which might still be ok for most assembly programming (you are not writing million-lines assembly programs, are you?).