Well, I use screenshots. Here's my process:
1.) Use VLC Media Player to open up the video
2.) Take a series of screenshots right in a row, really fast (by either tapping at lightning speed the shortcut key, or just holding it down and hoping the stills come out smoothly)
3.) Open up Photoshop and take it from there~
If you want to know how to make them entirely, well... It's really simple. Just copy and paste all the stills in one image file in Photoshop or whatever, as all separate layers, delete the white background layer, and make sure that all the stills are in order. Then go to "Save for Web" in Photoshop (3.0 Elements, is what i use), and then tick "Animate" and yeah~ You can adjust the speed toward the bottom of that window.
And yay, now I made myself a little sig. This is my first animated banner:
EDIT: You don't have to use VLC Media Player, but I love to use it. I used to use PowerDVD, but.... long story short, I don't have it anymore.
Basically. Just anything that can take screenshots~