How do you make your own animated avatar???
First of all, it has to be a .gif - not a jpeg file, as gif files support animation. Then, you use a program such as Microsoft (…shiver…) GIF Animator to put the gif files together into one. You may have difficulties getting any free software for this, as I think GIF encoding has licences attached (although in another thread I heard that the licence had actually ended). Give it a go.
however, animated avatars are not, or will soon not be, allowed allowed here
[but running opera I wouldn’t see the anim anyway]
bummer! 
No, not bummer. No one needs animated avatars.
aside from using animated gif in avatars, there’s this program that does animated gif, i think it’s called GIF Movie Gear, u can find at download.com. it’s not free. but i don’t think it adds any watermarks or anything.
GIMP can do animated gifs. Each frame is a different layer.