Ok, I made this very simple tut -- hopefully it will help.
Also, the pictures are large so I'm going to link them and not post them directly.
1. Open the image, copy the image and paste into a new image. Also, create a black layer under the picture of the guy.
http://www.bubsbox.com/bub/tutorial/1.jpg
2. Zoom in on the guys head and draw a marquee around the image.
http://www.bubsbox.com/bub/tutorial/2.jpg
3. Cut the head out of the image using Ctrl + X and paste it to a new layer. Make duplicates of the head layer. I used 4.
http://www.bubsbox.com/bub/tutorial/3.jpg
4. With Head 2 slected go to Edit -> transform and rotate the head slightly to one direction. Repeat with a little more angle to the Head 3 and Head 4 layers.
5. Using the little eyeballs to the left of the layer, remove the eyes from Head 2,3,and 4. Go to Select -> Select all then Edit -> Copy Merged. Open a new image and paste the copied layer. Remove the eyeball on Head 1 and click the eyeball on head 2 and repeat. repeat this process until you have a seperate image with 4 different layers of the image.
http://www.bubsbox.com/bub/tutorial/4.jpg
6. Make copies of the 1st, 2nd, and 3rd layers. Sort them into 1,2,3,4,3,2,1 order.
7. Go to Window -> Animations to bring up the animations window. Click the little arrow in the top right of the animation box and select make frames from layers.
http://www.bubsbox.com/bub/tutorial/5.jpg
8. Change the time of the frames until you get the desired effect. This is also where you can use the tween feature to make the animation smoother(I will not be using it though). Use the little play symbol to see the animation.
http://www.bubsbox.com/bub/tutorial/6.jpg
9. Go to file -> Save image as... Select a .gif, name it and hit save. This is what I came up with:
http://www.bubsbox.com/bub/tutorial/cop.gif
Hope this helps. If there are any questions, let me know.