A Nice simple example of how to make a preloader to replace the one that flex uses on startup. Again this is probably something that could be used for Air.
http://www.adobe.com/cfusion/communityengine/index.cfm?event=showdetails&productId=2&postId=12756
another good example for replacing flex preloader on this link :
http://askmeflash.com/article_m.php?p=article&id=7
Thanks for the link Dona – the preloader example in it looks good!