Are you talking about .gif files? If so stay the HELL away from them in game development, they are satan's spawn.
How so? They allow external animated files, if animated in the right program they don't have any loss and are small in size.
The only free on I can find is this:
http://forums.gamemaker.nl/index.php?showtopic=162469&hl=
Well the main reason is it is designed for internet protocols not game development, meaning it includes unneccessary and sometimes redundent features like interlacing, lossy compression, palletes, over the top compression (for game development at any rate, its a trade of between decompression speed and size, I myself prefer to have a fast loading but large file).
I guess its really just a personal choice, I myself prefer to use TGA files which are more or less industry standard in game development, thanks to their ease of importing/exporting, supported RLE compression, and fast loading times.