do you mean a .gif like Jason's? You can probably edit them in photoshop as well. They're not the same as video. If you have a video you'd like to make into an avatar, you can find a gif maker, which will basically make a portion of the video into an image. It's usually easier just to find a ready-made one instead of making one yourself.
Most images posted in this thread are a .jpeg format. Jason's, which is animated, is a .gif, which is a different format. To make a .gif, you'll need a program like Virtual Dub, which is free, or Adobe Premier, which is expensive. They're more trouble to make than they're worth, since you have to worry about compression size, length, amount of data, etc. There are a lot of sites that have animated gifs to download, but I don't think there are many of fish.
Is there any way to get larger pics for your sig or avatar. I went to go post a gif I have for my sig, I go to post it and the size restrictions are even worse.