I don't know how anyone else makes animated GIFs but here's how I do it.
First of all I create the image in PS. And have different layers for the different 'animation'.
So for my avatar here, I used two different layers:
1st layer: my photo
2nd: a drawing of me on a transparent background
Once I've made the different layers, i click on the import to Image Ready button on the bottom of the toolbox. Then I make sure the animation palette is open.
Select the layers you want for the first frame of animation. in the example of my avatar - just layer 1 is visible.
Then in the animation palette click on the new frame button (looks like the new layer button in PS) Then select the layers you want to show in this frame. for me it's layer 1 and 2, so the drawing is overlaid the photo.
Then continue this process until you've got all your frames.
Select the timing for each frame by clicking on the little arrow under the frame preview.
Then you'll want to open the GIF optimisation palette and select options such as transparent, number of colours etc. It may take a little playing around until you get the hang on this optimisation process.
Then click File>Save Optimized.
All Done!