The most important thing to remember when you're building your animation is that a little movement in a small area can go a long way. If you make sure the parts that move are small, but the changes are big and noticeable, you can really make the final file size small so that the animation will download fast.

The first frame should always be the biggest, because it sets the screen size of the whole animation and also determines the background color. The other frames can be much smaller, replacing only a portion of the frame before it. You can make it look like there's lots of movement with little changes, like in this example (if you want the animation to play again after it has stopped, hit the Refresh or Reload button at the top of your browser window).