What program do you use? I make the stills for my icons in Photoshop and make sure each frame is a layer then open it in Adobe Imagemaker. The number of frames is a huge factor in the size, as is the colouring. It's a matter of deleting enough frames to make it still look fluid and lowering the colour from unlimited to 128 (or if necessary 64 or 32, if it'll still look good at that quality).

The size makes a difference, too. If it's too large a file and I've already altered the colour quality and the number of frames as much as I can, then I tend to make the actual icon smaller.

Basically, I try to do a combination of the above that'll hopefully leave me with a workable icon that still looks good! Sometimes it works and sometimes it's just not possible. Which makes me sad!