Here's a great script and tutorial, created by "blendenzo" for Blender's Game Engine, showing you how to easily create a custom mouse cursor for your game projects.
This can be used for creating your own custom 2D cursors AND, there's nothing stopping you from using a 3D model as a mouse cursor!
Here's a small demo .blend file showing the results.
You can check out the tutorial, here.
Also, be sure to check out blendenzo's website for other goodies!