Coz I had the same interest, I researched the problem a bit.
a) Apple Mail can embed animated Gifs in Mime Format Mails, but it doesn't show them animated itself! This means if you send such a Mail to a user with e. g. Outlook Express, he will see the Gif with it's animation, although Apple Mail didn't show it!
b) Even more interesting is this: when a user with Outlook Express sends you an Mail with embeded animated Gif, Apple Mail also shows the animation! Why is this, you may ask? It's because Outlook Express sends the Mail as HTML with MIME Attachment and also does a URL "CID:" reference in the HTML code to the actual embeded animated Gif! Quite nifty!
c) What should I do then? Here comes in point No. 3! One solution would be to use a Mailer like MaxBulk Mailer, for example and send the Mail as true HTML mail, referencing to an animated Gif on any Web Server. This way every recipient with a standard compliant HTML Mail Viewer (including Apple Mail) will see the Gif animated!
--Steve56