If you use a direct file link, which for gifs on imgur would be .mp4 instead of gifv (which isn’t actually a direct file link), the video will embed in some clients. I’ve not seen it work in a comment, but posts will have an embedded player if the url submitted is to a direct video file.

Alternatively, if you’re posting a gif or don’t need sound, turn it into a .webp. The file will be much smaller than an actual .gif, and play in most clients. It also works in a comment, like so: