1. render straight from Ae as Quicktime Animation
2. drag the file to Photoshop
3. save for web (file->export->save for web)
4. choose a GIF preset and tweak to satisfaction
If you find you need to do this often, check out GifGun (GifGun - aescripts + aeplugins - aescripts.com). This script lets you do everything from within AE.
Of course, you'll save $30 by doing it though PS. Although, you might be able to get by with the demo version. (It's fully functional, but limits some options.)
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One advantage to creating a gif in Photoshop is that you can assign a duration to a single frame. GifGun can't do that.
That means that in many gif's for web banners you can have a graphic or some text hold for 15 seconds using just one frame. Then you use the next 10 or 20 frames for a transition. This will reduce the size of your gif's significantly. A 40 second gif could have under fifty frames instead of 300 or more and you couldn't tell the difference when it was playing back. You'll also get a lot better interpolation of the colors in Photoshop. Just my 2¢...
This works beautifully Roei. Thanks so much.