http://pixeljoint.com/forum/forum_posts.asp?TID=11... Comprehensive and very helpful for avoiding common mistakes.
http://gas13.ru/v3/tutorials/sywtbapa_almighty_gra... I learned a lot from this one.
http://manningkrull.com/pixel-art/walking.php This is just a tutorial for making walk animations for side scroller sprites but it helped me understand walk cycles in general.
http://2dwillneverdie.com/tutorial/ Lots of good tutorials with tips that are the most useful for larger peices. It's advanced stuff, don't start with this one.