hi dave.
well, yes and no...
animated gif -> yes. technically. if you can live with large files
movie files: never tried but propably not
flash/shockwave: nope.
reason: the flash plugin (and i guess its the same for quciktime and so on, although you'll have to try that) "cuts out" the section of your page where it is displayed.
do even if you put the flash file into a layer/div that is below your content-in-front it will display in the upmost layer...
so no flash backgrounds, so far.
possibly with ie7 they changed that, but i would be surprised.
easiest way would propably be to go all shockwave/flash.
about the only way i can think of without going flash is to load animated images in the background and replace the static ones as soon as that is done...
tricky and slow though.
hope this helps however.
jakob