I have seen animated icons in kbiff about 4 years ago. It was a rotating
envelope. You could make your own animated icons using the GIMP, for
example. Simple take an existing image (icon) set and rotating it using
built-in scripts such as the revolving globe.
I don't think that kde-look.org and gnome-look.org contain any animated icons
because I have never come across any. However, SuSE (or KDE rather) comes
with many animated pixmaps for the mouse pointers.
Hope it helps,