Animated Gifs

I'll try to be as specific as I can, but I don't know much on the subject.

I've seen some animated signatures/avatars that show a 2-3 second clip from a movie, anime, game, etc. After that it loops back to the start of the clip. I want to know what I need to have and what I need to know in order to make something like that. Thanks for any help you can give .

Thanks!