If appropriate for your application, adding a custom cursor gives an extra professional polish to your UI.
In the past, you needed to hide the mouse and drag around a sprite, which had negative performance effects. Now you have access to native mouse cursors through the operating system cursor mechanism.
Use the new MouseCursorData class and make its data property a Vector of one or several bitmapData objects. For multiple bitmapData objects, the cursor animates at its own frame rate (if you provide it). The maximum dimension is 32×32. Define its hotSpot property if you only want a part of the cursor to be active.
Refer to the documentation for an example, at http://help.adobe.com/en_US/FlashPlat form/reference/actionscript/3/flash/ui/MouseCursorData.html.