Scott Guthrie posted an article today discussing the use of the UpdateProgress control that is used to display a progress indicator while you are performing some action via AJAX.  Here is an example of an indicator:

Included in the article were links to several sites were that provide alternatives to the standard Atlas progress icon ( an animated GIF file ) that really allow you to customize the appearance of your. 

One of the links, http://www.ajaxload.info/, allows you to create custom animations using a variety of user-defined styles and colors.

Check it out.