Preloaders are great espically if you are new to flash as they give a chance for you to show off your new found skills with reasonable ease. However bear a few things in mind:

Your vistors do not always want to watch your flash intro, you can however over come this probablem by giving a noticable skip option as link below the animation

Becareful of there size, this is two fold. As with all web development size is always an issue with respect to the users download speed but secondly bandwidth cost money and your index page is the usual means of visior excess (it will get player a lot)

A word to the wise we used to use a preloader here at deep vein insomnia however it consumed about half our bandwidth, was not our most popular page but everyone how enter from here increase there would be bandwidth usage by sometimes up to 500% simply because a preloader was our index.htm file. We took decided to take it off but the nostalgic amongst you can still see it here.