1) Gif in ressource file
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- Create ressource file with lazres ex : lazres mygif.lrs gif1.gif gif2.gif
- Put TGifAnim on your form 
- In the FormCreate add (see down)

[code]

procedure TForm1.FormCreate(Sender: TObject);
begin
  GifAnim1.LoadFromLazarusResource('gif1');
  GifAnim2.LoadFromLazarusResource('gif2');
end;

[/code]

- And insert ressouce file in initialization section (see down)

[code]

initialization
  {$I unit1.lrs}
  {$I mesgif.lrs}

[/code]