I\'ll go first.
I\'m 100% in the set-operations camp. But what happens when the set logic on the entire desired input domain leads to a such a large retrieval that
If a table is un-indexed for some reason, a cursor will be faster than other methods of iterating over a table. I found this information in this blog post on cursors in SQL Server last year.
While the author is in favor of "use only as a last resort" approach (as is everyone here), she does find a case or two where cursors perform as well as other available alternatives (including the running totals pointed out by Robert Rossney). Among other interesting points she makes, she indicates that cursors operate more efficiently inside stored procedures than as ad-hoc queries. The author also does an excellent job of pointing out when the performance problems we all associate with cursors begin to occur.
The blog post contains actual code, so readers can try the queries themselves and see the results.