Depends on how much you want to have animated.
First you need the software that can do it. For my animations I use AnimationShopPro (it was combined with PaintShopPro).
Then you have to keep in mind that you can't do very much animation in you sig, simply because the maximum of only 16kb isn't much, so big signatures with many colors or heavy animations aren't possible. (Heavy animated sigs are kind of forbidden anyway)
Take my standard signature for example:
it has only 15 different colors and only his eyes are animated, but it is already 13.2 kb large.