I did some tests long time ago and the main problem used to be with the .ani format. While .cur was supported by pretty much all browsers, .ani only worked in Explorer. There was also a file size limit in Explorer, I believe it was 100kB - larger cursor files were refused. Firefox accepted .gif as cursor, but because you cannot specify hot spot using a .gif file, Firefox always used the top left pixel, which may not always be right.
So, if you want to have good compatibility with all browsers, you would need to test them repeatedly and possibly serve different file depending on the browser the user has.