I agree about preferring PNG, as MNG and APNG offer full quality images and better support for decent transparency effects.
This is a long term guilt-edge finishing touch for the project, as I can see that it is just a bit of bling.
I am also aware that on the fly scaling and rendering of AnimGIF can be a pain to get working.
I had not contemplated the implications for skins, but indeed I can see that animated image format support would allow for some interesting dynamic skin effects, with theoretically a minimal CPU impact.