From my own experience, I developed two techniques for changing the sprites of a character that's reacting to user input -- this in the context of a classic 2D platformer.

The first one is to store all character's pixmaps in a list, putting the index of the currently used pixmap in an ordinary variable. This way, every time the player presses a key -- say the right arrow for moving the character forward -- the graphics engine sees what's the next pixmap to draw, draws it, and increments the index counter. That's a pretty common approach I believe, the problem is that in this case the animation's quality depends not only on the number of sprites available but also on how often your engine listens to user input.

The second technique is to actually play an animation every key press event. For this you can use any sort of animation framework you want. It's only necessary to set the timer, the animation steps and to call the animation's play() method on your key press event handler. The problem with that approach is that is lacks responsiveness, since the character won't react to any input while the current animation is still being played.

What I want to know is whether you are using one of these techniques -- or something similar -- in your games, or whether there's a standard method for animating sprites out there that's widely known by everybody but me.