Or, Frontpage has some built in page transition effects. I only know this because when I was a n00b I used Frontpage
I'd just recommend not doing it, because although it has a little 'wow' factor, after a few pages it becomes annoying because the pages load slower due to the animation (meaning if you have animation that loads when you go to a new page, it will load the transition effect THEN the page will display... it's slow).
Fading in and out can be done in Javascript, I'm sure you could find a script to fade a whole page somewhere.
Either that, or you could do an entirely Flash website. However that may annoy more than a few visitors.