For a serious interface project, I needed to create a nice Please Wait animation. Here is the result - I think it turned out quite nice. Below you'll find that it is very easy to do.

Start with new document, let's backgound color be white. Important - document should be square (not required but will help us later).

Select Shape tool (U) to draw a little circle on top of document. You can of course use any other color from blue.

We want to have many circles within one shape layer. First we need to duplicate this circle. To do so, drag it down holding ALT key.