Can any one tell me ?

Adope Photoshop

Uh, I don't think Adobe Photoshop does animations.

I'm not sure what the new good ones are, but Ulead GIF Animator comes to mind

Macromedia Flash maybe?

Photoshop is good to make animated gifs, just open the gif file you want to put in your sig with Photoshop, and then copy every single layer of that gif file to your sig (You have to make your sig first, and every time you copy a layer you have to merge it with your sig. At the least you'll have every single layer of the gif file merged with your sig.
To make it animated, you have to save it as GIF, and mark the square that says "Animated".
Hope u understand

wow i never knew that thank you king23!!

I have jascs animation shop 3 it works good for making animated .gif's from videos.

There's actually a specific program that you can use for making stick figure animations but I've forgotten the name of it someone posted it at nbalive.org forums if you want to go and try to find it there.