You want to use the IMG tag not the URL tag:
[IMG]https://33.media.tumblr.com/4af241a0efc97fcb05714f8a342c68 b7/tumblr_nkilwhtqv11qgmv1oo1_500 .gif[/IMG] yields:
dang I'm such an dolt i do not know how to share gifs. does this work? how do i share it show it shows and is not a link?
(staff edit; fixed it for you; ztonk)