Many months ago, Craig and I started the SwingFX project. One of the first components to be added was the infinite progress panel I described in a blog entry:

This component was quite successful (I've recently seen a variation in ZValley's ZEN) but it remains quite simple. Michael Bushe just added a very valuable feature, the ability to cancel the current running task:

You can get it today in SwingFX binaries, source and documentation. I also suggest you to take a look at the rubberband API, it can prove to be useful in some applications.