Apple - Preview an animated GIF image?

In Mountain Lion and Mavericks, Mac's own Quick Look has GIF support, so clicking space or ⌘+Y while the GIF is selected will play it. It might take a second or two to load though, depending on the size of the GIF.

Right-click it, go to the Open With menu, and choose Safari (or your other favorite Web browser).

It should open quickly, and will play the animation.
No internet connection is required if you have a local copy of the image.