If your scenario is not ajax one (classic form postback or browser is redirected by link-click)
I'd insert animated gif into html layout just before redirection / post back (hidden div is shown or something like that). AFAIK this approach will have problems with old-day-browsers (animation will be frozen)
Another approach is called page-processor?. Browser is redirected to intermediate page that shows animation while page requested is loaded.
You can also send javascript code from server (Response.Write / Response.Flush) that will animate your current page.
I also advise to block/hide UI control such as "send form" to deny impatient user click twice if server is responding too long.