How can I create a "Please Wait, Loading..." animation using jQuery?

You could do this various different ways. It could be a subtle as a small status on the page saying "Loading...", or as loud as an entire element graying out the page while the new data is loading. The approach I'm taking below will show you how to accomplish both methods.

The Setup

Let's start by getting us a nice "loading" animation from http://ajaxload.info I'll be using

Let's create an element that we can show/hide anytime we're making an ajax request:

<div class="modal"><!-- Place at bottom of page --></div>

The CSS

Next let's give it some flair:

/* Start by setting display:none to make this hidden.
   Then we position it in relation to the viewport window
   with position:fixed. Width, height, top and left speak
   for themselves. Background we set to 80% white with
   our animation centered, and no-repeating */
.modal {
    display:    none;
    position:   fixed;
    z-index:    1000;
    top:        0;
    left:       0;
    height:     100%;
    width:      100%;
    background: rgba( 255, 255, 255, .8 ) 
                url('http://i.stack.imgur.com/FhHRx.gif') 
                50% 50% 
                no-repeat;
}

/* When the body has the loading class, we turn
   the scrollbar off with overflow:hidden */
body.loading .modal {
    overflow: hidden;   
}

/* Anytime the body has the loading class, our
   modal element will be visible */
body.loading .modal {
    display: block;
}

And finally, the jQuery

Alright, on to the jQuery. This next part is actually really simple:

$body = $("body");

$(document).on({
    ajaxStart: function() { $body.addClass("loading");    },
     ajaxStop: function() { $body.removeClass("loading"); }    
});

That's it! We're attaching some events to the body element anytime the ajaxStart or ajaxStop events are fired. When an ajax event starts, we add the "loading" class to the body. and when events are done, we remove the "loading" class from the body.

See it in action: http://jsfiddle.net/VpDUG/4952/

As far as the actual loading image, check out this site for a bunch of options.

As far as displaying a DIV with this image when a request begins, you have a few choices:

A) Manually show and hide the image:

$('#form').submit(function() {
    $('#wait').show();
    $.post('/whatever.php', function() {
        $('#wait').hide();
    });
    return false;
});

B) Use ajaxStart and ajaxComplete:

$('#wait').ajaxStart(function() {
    $(this).show();
}).ajaxComplete(function() {
    $(this).hide();
});

Using this the element will show/hide for any request. Could be good or bad, depending on the need.

C) Use individual callbacks for a particular request:

$('#form').submit(function() {
    $.ajax({
        url: '/whatever.php',
        beforeSend: function() { $('#wait').show(); },
        complete: function() { $('#wait').hide(); }
    });
    return false;
});

Along with what Jonathan and Samir suggested (both excellent answers btw!), jQuery has some built in events that it'll fire for you when making an ajax request.

There's the ajaxStart event

Show a loading message whenever an AJAX request starts (and none is already active).

...and it's brother, the ajaxStop event

Attach a function to be executed whenever all AJAX requests have ended. This is an Ajax Event.

Together, they make a fine way to show a progress message when any ajax activity is happening anywhere on the page.

HTML:

<div id="loading">
  <p><img src="loading.gif" /> Please Wait</p>
</div>

Script:

$(document).ajaxStart(function(){
    $('#loading').show();
 }).ajaxStop(function(){
    $('#loading').hide();
 });