In photoshop, to remove anti-aliasing in scaling images make sure you use “Nearest Neighbor” interpolation (you can set it in the General preferences or when doing certain functions like Image Size…).
Also, as zparticle mentioned, for the selection tools (marquees + lassos), make sure anti-aliasing is off in the Option mini-dialog (choose Show Options from the Window menu). This is all for Photoshop 5.0 - it may be slightly different in the newer versions.
As for the sprite rip from Ragnarok Online, chances are, they drew the line art on paper, scanned it in, cleaned it up, and colored it in something like Photoshop. The colors chosen give a painted feel to it, but on closer examination, you can certainly see that great care was taken at the pixel level.