Laysan Albatross doing the breeding dance
Strictly speaking, there are no gay animals. “Gay” is an identity, and we can never know how animals self-identify. Using the term more loosely, there is a lot of homosexual behavior in the animal kingdom, so much so that some scientists believe it may exist in every species. To those who say homosexuality is unnatural, nature disagrees. As the homophobia of our society decreases, our ability to see same-sex sexuality as it actually occurs in nature increases.
The most readable overview on the topic comes from a long New York Times Magazine article, Can Animals Be Gay? Framing the question with a discussion of lesbian Laysan Albatross, the author does a nice job of teasing out the difference between same-sex sexuality and gay identity, and the political forces that shape the discussion.