As documented here:
http://java.sun.com/javase/6/docs/technotes/guides/plugin/developer_guide/special_attributes.html
one can use the following syntax to provide a custom splash/startup screen for an
applet, which overrides the default Java Plugin animation:
  <APPLET ...>
  <PARAM name="image" value="my_image.gif">
  </APPLET>

The problem is that if one provides an animated GIF image, only the first frame
is shown, so this solution cannot be used to provide a custom "loading..." screen
that provides user feedback. We need to fix the Java Plugin so that it can
display animated GIF images properly in this context.

Many customers have requested a way to override the default Java Plugin animation,
since in many cases it clashes with the aesthetics of a website or may conflict with
their own branding requirements. While an animated GIF isn't the most ideal solution
to this problem, it is a reasonable stopgap until such a time that we can provide
a more complete solution. (For one thing, we currently have no way to make a custom
animated GIF show the true loading progress of an applet, so these custom animated
GIFs would have to be more of an indeterminate progress indicator, which is better
than a static image at least.)

Also requested a number of times in the comments of this blog entry:
http://weblogs.java.net/blog/campbell/archive/2007/02/orange_box_new.html