Where in the game do you want to use GIFS? I think you cannot use animated GIFS

Otherwise you can load it just like any image:

# Don't forget to call the super constructor when extending pygame.sprite
        super().__init__();

#loads the image
        self.image = pygame.image.load("image.gif").convert()
       
 # Set the color that should be transparent if it does not have alpha set
        self.image.set_colorkey(pygame.Color(255,255,255))

Pygame does not support animated gifs.  You might be able to use this 3rd party library which someone wrote and posted on the Pygame website.  Fair warning, the author says it does not work with all GIFs and will garble or completely drop random frames on certain GIFs. 

http://ajaxvm.com/downloads/GIFImage.py

EDIT: Actually strike that.  GIFImage.py requires the use of PIL (Python Imaging Library), but PIL does not have an updated version for Python 3.4.  I cannot find any other solutions other than using a sprite sheet for animation.