I am in the process of transferring my domain from Gandi to GoDaddy (don't ask) and I also have a Gandi wildcard SSL certificate.
Will the SSL certificate continue to work once the domain has been transferred?
Sure, it will still work; they aren't actually related in any technical way (registrars just like to bundle certificates with registration/hosting/etc. to make more money).
Any browser that has Gandi's public key in its certificates list (should be just about all of them) will still accept it for as long as it's valid.