I'm fairly sure you can't use an animated GIF for this - client doesn't support them. However, Outland skyboxes are models, and models can be used very effectively to make login scenes. Since I'm a big fan of Outland, I'll see if I can whip something up for you. It will require an MPQ patch to the Glues folder, but nothing more. Did you have a particular sky in mind? The Hellfire one with the moons and swirly stuff or the purplish Netherstorm look?
-- Scy