A beautiful preloader is important for a flash website. Indeed, if you need to load much data, your preloader will be visible all during this time. And if it is not interssant, visitors may leave your website.

Here are some examples of interesting preloader : http://www.prettyloaded.com.

Most often, preloader are made by graphic designer on 100 frames without using any code.
Developpers integrate them, and use gotoAndStop on an enterFrame to display the loading progression.

This is my circle preloader.
To make this, I used 2 masks moving like the circle. Of course it could be done with code, but it would be a headlock with cosinus and sinus !
You can find the source here.