Solution 1:

Using Swing you could simply use a JLabel:

public static void main(String[] args) throws MalformedURLException {
    URL url = new URL("<url_to_animated_gif>");
    Icon icon = new ImageIcon(url);
    JLabel label = new JLabel(icon);
 
    JFrame f = new JFrame("Animation");
    f.getContentPane().add(label);
    f.setDefaultCloseOperation(JFrame.EXIT_ON_CLOSE);
    f.pack();
    f.setLocationRelativeTo(null);
    f.setVisible(true);
}

Solution 2:

check it out:

http://java.sun.com/docs/books/tutorial/uiswing/components/icon.html#getresource

Solution 3:

For loading animated gifs stored in a source package (in the source code), this worked for me:

URL url = MyClass.class.getResource("/res/images/animated.gif");
ImageIcon imageIcon = new ImageIcon(url);
JLabel label = new JLabel(imageIcon);