I personally like the approach of Visual Studio 2010. They use animation of a small alternating series of points (with different intensities). They simply enliven the dots circling in the center of the window in question.
In WPF, this is trivial - just animate the rotation of a small drawing of a circle of dots with a correctly set opacity set in front.
I find it very intuitive, small and non-intrusive.
Reed copsey
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