How to make a 2D sprite that looks the same and to the same scale.

2d animation is handled in one of two ways usually: Sprite sheets and independent object motion.

For sprite sheets you would create a few images in photoshop that mimic the different stages of a run-cycle. These images are then placed on one huge image file, and the UV coordinates of the character keep changing to quickly flick from image to image, giving the impression of fluid motion. By the end of the run cycle, it flicks back to the first image ensuring continuity.

For independent object motion (Rayman being a great example). You split up your character into multiple separate parts (e.g. remove the left am from the torso). this allows you to translate, rotate and scale these parts independently from one another (meaning you can rotate the legs without rotating the body for example). For each object you save out a little animation with its first and last keyframes in the same spot, so that as the animation plays you loop the animation seemlessly. You do this for each of the objects (usually also making sure that each object is animated over the same time period).

The new Unity 2d animation system tutorial should help solidify your understanding of these two ways of animating. The potato man uses independent object motion, whilst the swan uses a sprite sheet.

(it also helps to combine these two techniques in some cases).

ps. in both cases you would want to use photoshop to create your visual 2d elements, yes. However in sprite sheet methodology you will need to draw the character multiple times for every frame of the characters motion (giving you a lot of flexibility, but a lot of work), whereas with independent object motion you would draw the character elements once, each separately, and animate them within unity.