I've only done it once. Made the GIF images one by one and used a program that combines them and sets options. I forgot what the program was called though! Surely a Google search would find plenty of similar programs. Alternatively, use GIMP for an easier method (free image editor)
You need a graphics program like Adobe Photoshop, Photoshop Elements, Corel (formerly Jasc) Paint Shop Pro, or Paint.NET (FREEBIEE!!!) to make your graphics files. I do NOT recommend using The GIMP unless you have experience with Adobe Photoshop and are on a Linux distribution - the Windows version is about as busted as a compact car that got run over by a monster truck (and just as hard to use).
CS2 is good for editing gif's..for making theres a good one by Ulead...gif creator or something like that..
Use Adobe's Image ready or Photoshop (which are not so different). Usually Photoshop is comfortable for creating the basic images and Image ready is suitable for combining those images to create the animated gif file. The workspace can be easily transferred to one another. However the choice depends. I'm just giving my opinion..
You don't have to use Photoshop. Any quality graphics program will do. Granted, Photoshop is the best at making Web graphics, but it's not the best at optimizing and saving them (compression ratios anyone?).
Animated .gif's tend to be big and bloated right out of the gate - combine this with photoshops piss poor image optimization techniques and you end up with a fat-ass mess. Photoshop is great for drawing each frame, but putting them together? /FAIL/ I highly suggest the Corel Paint Shop Pro package, as it actually has a save-time image optimizer that beats anything in any macromedia product hands-down.... More so since it's a mere $80 or less.