VLC can, but it fucks up when trying to skip in frame increments. I use something called BS player, which lets you set hot keys for skipping frames and saving out screens, and lets you set a directory for the saved images. So instead of selecting a frame range, you just pause on the frame you want to start on and spam the right arrow and the S key until you're happy with the length. Then import all your images into Photoshop.
It's not really a popular technique, I think most people prefer to have everything done automatically, but it means you can .gif any video file without converting it first, and you only have to use two programs.