A "Space Invaders" clone taken from this tutorial with the improvements suggested at the bottom.
shot.gif, ship.gif, alienAlt.gif, shotBack.gif, and the first frames of alien.gif and shotAlt.gif all belong to Ari Feldman. The other frames of alien.gif and shotAlt.gif I knocked up in pixlr, a great, free image editing software.
As it is set up at the moment, the sprites have to be put on your classpath so that the ClassLoader can find them. For me using intelliJ idea, this meant putting them in out->production->[Project Title]->sprites.