Learn Showit recently did a cool little post on how to add an animated favicons to your website.
"In this most recent update from Showit, we now have the capability to add HTML to the header before exporting the HTML pages instead of having to open up the page in an HTML editor such as Notepad++. One great example of the use of this new feature is the ability to easily add an animated favicon. Using this favicon generator you can easily generate a static favicon, an animated favicon, and a favicon for Apple iPod and iPod Touch...."
Check out the rest of the post with detailed instructions here.