There are a million ways to create arrows in Photoshop, but this is probably the best method. This technique comes from Scott Kelby's Photoshop CS Killer Tips.
Start by selecting the line tool in the Tools Palette.

After you select the line tool take a look at the option bar (if you don't see the option bar you can open it with Window > Options.) In the middle of the option bar you will find the Weight field. The line 'weight' sets the thickness of the line. The default value is probably 1 pixel. I'm going to set the weight to 8 pixels.

Just to the left of the weight field is a little downward pointing triangle. Click on the triangle to open the Geometry options drop down.

For the line tool the only geometry options have to do with arrow heads. You can specify the size of the arrow heads and specify if you want arrow heads on the start or the end of a line. After setting the arrowhead options you can use the line tool to draw arrows all over the place!

To get even more value out of line tool arrows, we can make a preset to quickly recall our settings. The preset will not only remember the arrowhead settings, but it will remember the color and layer style that you use with your arrows. I want to make a plain blue arrow preset so I've got blue selected as the foreground color, and I have no layer styles selected.
At the left end of the option bar there is another little triangle. Click on it to open the Tool Preset picker.

In the Tool Preset picker, click on the Create new tool preset button to open the New Tool Preset dialog.

In the New Tool Preset dialog give your preset a name. I used "Blue 8px Arrow". Click on OK to create your preset.

Now when you have the line tool selected and you open the Tool Preset picker you'll see your arrow preset. Just click on it and you're ready to make arrows!