Scott Guthrie must do nothing but blog all day (lucky beast! :) ) - in this post, he links to a very nice article by Daniel Fisher which includes the source code to a server control that lets you show a "Wait" graphic. To quote his reason for needing this functionality:
"Sometimes it happens that a form is processing and you need to make sure that the users don't panic and run away before it finishes."Phil Winstanley pointed out in this blog entry that this kind of thing isn't necessarily applicable or suitable when a page is using AJAX for it's processing, and gives a number of reasons.
I still think that the simple elegant implementation of this control makes it a good one.