A lot of Oracle programming is done in cursors.  I found it was largely by convention...a best practice that stuck with people as they mentored younger and less experienced people.  That's the way I learned (by a truly great mentor, BTW) when I was first learning Oracle.  I remember years later when my employer switched from using Oracle Forms and Reports (version 7.3!!!) to using packages served out over a DAD.  Nearly everything, even code to get a single row, was written in a cursor in the original form.  I rewrote a lot of them to make the package code simpler and suffered no ill affects.

PL/SQL cursors are handled in Oracle the way Sue described above, which makes them faster than T-SQL cursors.  However, you can get some very fast set-based code to run in Oracle.  Personally, I never raced set-based against cursors in Oracle, so I can't speak to the performance differences.

My advice is to give it a try and test, test, test.  A lot has changed in Oracle since 7.3 and 8i, so there may very well be faster ways of doing things by now.