When I’m on the web and waiting for a partial page update (thank you AJAX!) and see a little loading image I think “aww, isn’t that nice”. It’s just good practice to let your users know that they have to wait for a few seconds until their content loads.
The last thing you want is a user waiting for something to load and not know that they are waiting. This will get them off of your page faster than Spitzer can say “They found what?!”. 😉
Here is a site that generates loading images on the fly. You can customize it by choosing different styles and colors. Pretty damn sweet.