Its pretty much just plain paper with a specific arrangement of holes at the top/bottom designed to be put onto a large, professional peg board - This is a basic setup for animation: junkforest.com/journal/images/…
In that pic, they are using a professional peg board but if you have a hole punch, just get a normal small peg board and buy the largest stack of A4 printer paper for the lowest price at your local stationary shop and hole punch all of those instead.
A light box is just a box with a semi transparent top and a light inside which helps you see through the paper, if you have a pane of glass or a semi transparent box, you can substitute those by putting a light source inside.
The site I just gave you (ChromaColour) is a UK based supplier of traditional animation tools including peg boards, light boxes, animation paper and the famous blue pencils They probably do international deliveries or you can just search for animation paper online and get it from a site in your area instead.
I draw each frame as its own layer, using the opacity to help me tween, then save each layer as a seperate frame (I usually use Pngs). You can then import the frames back in and export a gif either by finding it on their list when you save as a new file, or by manually typing .gif at the end of your filename while saving. It'll then go through the process of making it an animated gif for you.
I do not recommend using the animation plugin that you can get for GIMP, the plugin itself is buggy, the quality is drastically reduced and it slows down the entire process even more, then you end up with a file that is difficult to work with in other programs should you require further editting.
Just a basic stick man, you can probably get away with a straight export as a gif (With only your frames present, no backgroud layer etc) and have the layers replace eachother when you save it (Again, the software will literalaly walk you through this step).
For more substantial drawings with more than just a sketch, you can export each frame individually and import them back in a new document to create a gif to save you from having to apply the background to each one instead. This is only if you plan to use GIMP exclusively. If you have other software to composite for you, you just need to save each set of elements in sequence however you need them to work with whatever software you're using (Pngs are the most widely used, i can't think of anything that won't work with Pngs.)
Question: How do you make an animation into a moving gif with the moving picture displayed without actually clicking it? because I see people make these animations into animated gifs and I can't do it with my Adobe Flash CS5.
Gifs should play as they are, no clicking required, the only thing is that some people are perhaps making a preview image that is just a still rather than a smaller version of the gif. I don't use Flash so i don't know how it works, but as long as you're making a GIF that loops, it should play indefinately as per normal.