This is how I do it (only once or twice, so it's probably kind of a roundabout way):
Open the video file with VirtualDub (Get it here) and find the section of video that you
want to make a .gif from. I use that to find the frame number range.
Then, open Jasc Animation Shop (download a trial version here) and go to
File > Animation Wizard.
Just let it walk you through. The pallete can be transparant or opaque,
doesn't really matter. Center it in the frame. Scale frames to fit. Then, when you
come to the place where you input the frame numbers, enter the numbers you
wrote down from Virtual Dub. That's all there is to it. You can do frame transitions
and all that if you want, otherwise just save it and let the program compress it.