if you have flash you can make gifs with that, however you can download many freware gif animting programs from
http://www.download.com
the animation in my sig i made by recording a 2 second clip of my cell running with fraps, (search for it), converted the avi to a filetype supported by flash, (it didntw ant to import the avi) in this case i made it into a sequence of bmps using tmpegenc,
imported those bmps into flash and deleted the unneccassary frames,
youd hafta go through somewhat of a similar process to make your own gif, but the filesize restrictions here are a ***** to work around