Microsoft posts a nice improvement to the WP7 progress bar

Showing that your WP7 app is doing some work is as simple as adding a progress bar and setting its IsIndeterminate property to true. This will show the animating dots that glide from left to right in all the WP7 apps.

<ProgressBar IsIndeterminate="{Binding Working}"/>

The problem with the current version of the control is that it animates on the UI thread. So if your UI is doing something as well it can be kind of jerky.

MSDN has a code snippet that moves the animation to the compositor thread. I'd recommend using this approach as it has a noticeable improvement, animating nice and smoothly.

CodeProject