If you want something free, I use GIF Construction Set Professional. It's kind of obnoxious about getting you to pay - it literally yells at you when you shut it down - but it's really easy to use.
If you have Fireworks, open it, click on Help/Lessons/Creating Animation
*EDIT: BTW, you can also save an animated banner, from the web, and open it in fireworks. Then click on window and select frames, to show frames. Now you can go through each frame and see how it was animated and the time span allocated to each frame. If you wish, you can also use it as a template to create an animated banner. Just create a graphic for each frame (that is the same size as the original banner ad), and paste into each frame.
almost all graphic suites have some kind of GIF editor. PaintShop pro has a basic easy to use editor. photoshop has imageready which is a more powerful editor.
i would also search download.com, maybe there are some free ones without nag screens