Since I don’t endorse my method for making gifs, here are some great tutorials to help you out:

g-violet - using any video editor and Photoshop CS4
stilljane@lj - using Photoshop CS4
lawyerupasshole - different gif effects, using Photoshop
miss-mishi - using VLC, Photoshop CS4
gifmethat - from scratch, using Photoshop