A very simple example which generates a fade in and out effect for your rooms. Simply add the object to the first room of your game and make it persistant and your done.
EDIT: I have just updated the example. The old version speed had an aim speed at which it worked. Most newer PC's could handle this but old PC's played it very slow. The new version adds as many frames in the animation as it can possibly fit inside the time for the animation. So fast PC's have a better looking animation while all PC's have a good working one.
EDIT 2: I have added a version for GM6 as well