Youtube2GIF is a windows application that helps you to create animated GIFs when you are watching online videos. Convert video to gif animation file with high quality and fast speed, it supports capturing most popular videos such as YouTube, Dailymotion, NICONICO, Hulu, Vimeo, Metacafe, VEVO, Facebook Video, Yahoo video, MSN Video, Google Video, Liveleak, etc. more than 100 video sites.
Simply download the file and install, then just place the monitor window over the YouTube video that you're after, and it will start collecting images, then will turn them into an animated gif for you. You can loop it, add in your own subtitles and so on. Very nice little tool. The freebie has a watermark on it, but you can buy it for about $20.