I normally go back one frame from the end of loop keyframe and note the number of the animated parameter then change the end keyframe to that number.
for example I want to rotate something 360 degrees every 1 second. So I keyframe the first frame at 0 degrees and then keyframe the last frame (frame 30 if
@30fps) at 360 degrees. I then go to frame 29 and note that it is at 357 degrees. I then change the keyframe at frame 30 to 357 and loop it. It runs perfectly with no pause or glitch. Of course if you're animating a bunch of different properties then you have to do this for each property.
Of course if you're doing a complex animation you may need to play around with the keyframes interpolations to get a smooth loop.
hope this helps!
jeff