In PowerPoint 2002/XP and 2003,
Click on the textbox, go to Custom Animation.
Click Add Effect and select an Entrance effect.
Double click on the effect to bring up a dialog box. Select Text Animation
tab.
Under Group text,
Click on the dropdown field and select "By 1st level paragraphs".
Click Ok.

You may also want to check Echo's site for Bulleted Text Animation
http://www.echosvoice.com/individualbullets.htm#IndividualBulletedTextAnimation