I always avoid cursors but they are, unfortunately, necessary sometimes. I did notice a huge difference between SQL7 and SQL2000. SQL7 would just fold in two as soon as you tried to run any cursor. SQL2000 gives acceptable performance as long as you don't over-use them.

I too, thought it was strange when I read that Oracle was supposed to be better with cursors in genral than MSSQL Server. Definitely not from my experience.