It has 2 colors.
Therefore it doesn't need to change very often and only has to change some pixels while others remain the same color.
It's science! :U
EDIT: Atleast that's how they do it when they write a movie to a DVD to save space. I'm not sure if that can be done to a GIF.
Well indeed, it only uses pure black and pure white. As such, it can fill many, many more frames without as much data usage, so it's small. Although it isn't me. Someone recently pointed out Peejster's avatar out to me again, discovered Peejster is still active.