Here is a javascript for a (bubble) cursor trail.
<p>
It requires 6 small image files of an identical size:
<ul>
<li>trail0.gif
<li>trail1.gif
<li>trail2.gif
<li>trail3.gif
<li>trail4.gif
<li>trail5.gif
</ul>
Other possible images: fading arrows, a mad dog that runs after the cursor,
an airplane, ...

<!-- Cursor trail idea by DSH iMAGES http://www.aha.ru/~dsh/ -->
<div id="trailSprite1" style="position:absolute; height:28px; width:36px; z-index:10"><img src="icons/trail0.gif" height=28 width=36 border=0 name="trailSprite1img"></div>
<div id="trailSprite2" style="position:absolute; height:28px; width:36px; z-index:10"><img src="icons/trail0.gif" height=28 width=36 border=0 name="trailSprite2img"></div>
<div id="trailSprite3" style="position:absolute; height:28px; width:36px; z-index:10"><img src="icons/trail0.gif" height=28 width=36 border=0 name="trailSprite3img"></div>
<div id="trailSprite4" style="position:absolute; height:28px; width:36px; z-index:10"><img src="icons/trail0.gif" height=28 width=36 border=0 name="trailSprite4img"></div>
<div id="trailSprite5" style="position:absolute; height:28px; width:36px; z-index:10"><img src="icons/trail0.gif" height=28 width=36 border=0 name="trailSprite5img"></div>

<SCRIPT>
var isNS = (navigator.appName == "Netscape");
layerRef = (isNS) ? "document" : "document.all";
styleRef = (isNS) ? "" : ".style";
var queue = new Array();
var NUM_OF_TRAIL_PARTS = 5
for (x=1; x < 6; x++) {
eval("trailSpriteFrame" + x + " = new Image(28,36);");
eval("trailSpriteFrame" + x + ".src = 'icons/trail" + x + ".gif';");
}
function trailSpriteObj(anID) {
this.trailSpriteID = "trailSprite" + anID;
this.imgRef = "trailSprite" + anID + "img";
this.currentFrame = 1;
this.animateTrailSprite = animateTrailSprite;
}
function animateTrailSprite() {
if (this.currentFrame <6 ) {
if (isNS) {
eval("document." + this.trailSpriteID +".document['"+ this.imgRef + "'].src  =  trailSpriteFrame" + this.currentFrame + ".src");
} else {
eval("document['" + this.imgRef + "'].src  =  trailSpriteFrame" + this.currentFrame + ".src");
}
this.currentFrame ++;
} else {
eval(layerRef + '.' + this.trailSpriteID +  styleRef + '.visibility = "hidden"');
}
}
function processAnim() {
for(x=0; x < NUM_OF_TRAIL_PARTS; x++)
queue[x].animateTrailSprite();
}
function processMouse(e) {
currentObj = shuffleQueue();
if (isNS) {
eval("document." + currentObj + ".left = e.pageX - 10 ;");
eval("document." + currentObj + ".top = e.pageY + 10;");
} else {
eval("document.all." + currentObj + ".style.pixelLeft = event.clientX + document.body.scrollLeft - 10 ;");
eval("document.all." + currentObj + ".style.pixelTop = event.clientY + document.body.scrollTop + 10;");
}
}
function shuffleQueue() {
lastItemPos = queue.length - 1;
lastItem = queue[lastItemPos];
for (i = lastItemPos; i>0; i--)
queue[i] = queue[i-1];
queue[0] = lastItem;
queue[0].currentFrame = 1;
eval(layerRef + '.' + queue[0].trailSpriteID +  styleRef + '.visibility = "visible"');
return  queue[0].trailSpriteID;
}
function init() {
for(x=0; x<NUM_OF_TRAIL_PARTS; x++)
queue[x] = new trailSpriteObj(x+1) ;
if (isNS) { document.captureEvents(Event.MOUSEMOVE); }
document.onmousemove = processMouse;
setInterval("processAnim();",5);
}
window.onload = init;
</SCRIPT>