Somehow I must have missed this until now: mProjector by binary noise is a cool tool that allows you to create windowless flash projector files having any shape you like. On top of that you can even control the positioning of the window and move it around programatically over the screen. Unfortunately at the moment all this works only on windows and there only on Windows 2000 or XP.

Update: mProjector is now offered by ScreenTime Media who aquired it from BN and just recently launched v2.0. This version also works on Windows 98 and there will be a lite mac version soon.