It does beg the question, though:

Which file format would you prefer to Animated GIF?

Can you think of one for which there is a myriad of tools available on multiple platforms with which to create animations? One which does not use lossy compression? One which can create files that are small and compact, suitable for the limited memory requirements of the player? The only other ones I can think of which would be suitable for this kind of task are all also proprietary by most definitions of the word.