Why can't I use an animated GIF as my wallpaper?

I think it's because the wallpapers are managed by a program (metacity or nautilus I think) that can't display animated pictures, so .gifs get converted to simple snapshots of the very first frame.

If you want to make your CPU cry and see animation on the desktop, you can make snapshots of every animation frame you need and define a slideshow for your desktop background (which is actually possible). Tune the time for the pictures to switch for 1/24 of a second and you have full-cinema quality animation :)