I’ve enjoyed regularly changing up my GTK and Metacity themes, but until recently I have never switched to a new cursor set. There are many high-quality cursor themes available, and they are easy to install in GNOME.
Cursors you download yourself should be in an archive format, but you don’t need to extract them. Open Appearance Preferences (System->Preferences->Appearance), and select the Theme tab. Drag and drop the file you downloaded into the theme browser area to install it.
To manage your installed themes or switch to a new one you installed from the repository, click Customize and select the Pointer tab.
You should see your new cursor theme immediately, but to completely apply it to all applications, you need to log out and back in.