Not only can you browse their huge library of GIFs, but you can save them as Live Photos right from the app. But that's easy enough to accomplish using GIPHY for iOS.
While Apple did add GIF support in the Photos app, they did not add GIF support to the wallpaper settings. In order to use an animated GIF for your live wallpaper, you'll need to convert it to a Live Photo first. If you can't find the right Live Photo, GIFs are the next best thing, and experimenting with them feels like a game almost.
To really customize your lock screen, you can use a Live Photo for your wallpaper. In iOS, Apple provides a few live wallpapers that you can use for the background on your iPhone's lock screen, but these animated options are just wavy color shifts and ink-in-water effects.
