You can use Photoshop to make an animated GIF. But I believe starting from Photoshop CS2 that have this thing call animated palette.
I used to use Animation Shop, it's very easy to use. Also Photoshop has Image Ready which makes them. I haven't tried it with the new Photoshop yet, but I believe it's do-able.
Both PhotoShop & Serif DrawPlus can do good animation work - if you get Serif DrawPlus x2, you can even do Flash animation (Serif products are very reliable & cost effective). I own the whole Adobe Cs3 suite & a few Corel softwares... Serif DrawPlus X2 still remains my primary tool
You can also do gif and flash animation with Xara, Xtreme. There are probably a few free gif animation programs out there too if you do a google search you are likely to find something.