The best way to create icons for all PPIs would be to create vector graphics and export as SVGs or create an icon font. Since the pixel density of devices change, you can't easily plan for them all so you'll be providing many duplicate images at different sizes.
Though, if you do, saving a web and a retina sized one will cover most of your bases. And for even higher pixel densities, a retina quality image would show up decently. Vector is definitely a necessity for perfectly quality all the time. As well, providing vector-based icons through SVG or an icon font would allow people to use your icons at any size (not just the sizes you saved the image as) and they could use CSS to change things like the icon color (would be helpful for hovers because otherwise a regular and hover version of the icon need exist).
If you feel comfortable in Photoshop you can use this hack to export SVG graphics from vectors drawn in the program- http://hackingui.com/design/my-workflow-to-export-svgs-out-of-my-photoshop-design-files/
Though, the process of drawing vectors in Photoshop isn't all that different than using Illustrator.