According to the Star Wars Databank at the excellent starwars.com
website, Anakin Skywalker is 9 years old in Episode 1. From the
official timeline published by Random House (who publish the Star Wars
books) we can also determine when each movie took place and
extrapolate his age.
Phantom Menace took place 32 years before Star Wars Episode 4; Attack
of the Clones took place 22 years before Episode 4; Revenge of the
Sith took place 19 years before Episode 4; Empire Strikes Back took
place 3 years after Episode 4 and Return of the Jedi took place 4
years after Episode 4.
Applying this to our knowledge of Anakin being 9 in Phantom Menace we
can conlude that he was these ages in each film:
Phantom Menace 9 years old
Attack of the Clones 19 years old
Revenge of the Sith 22 years old
A New Hope 41 years old
Empire Strikes Back 44 years old
Return of the Jedi 45 years old
These ages can be verified using these pages:
http://www.starwars.com/databank/character/anakinskywalker/
http://www.randomhouse.com/delrey/starwars/timeline.html
The actor who played Anakin in the first movie was Jake Lloyd who was
born on March 5 1989. This made him approximately 9 years old when he
was making the movie (as the movie was released in 1999 but in
post-production for at least a year).