Agreed. It's a much better idea to learn how to manipulate seperate images and define animations within the program than to use GIFs. If you take the time to test these things and find out for yourself you'll notice that GIFs load much more slowly as they play, because the file structure was designed to be small and overly compressed for easier downloading rather than more efficient playback. (You will probably not notice this on a P4 or equivalent)

On another note, you can more easily manipulate an image before displaying it, for simple effects such as palette animations or warping and twisting the image.