In AS3 (and actually using a similar method in AS2) you can make a MovieClip act just like a button like so:

Give your MovieClip 3 frames, labelled _up, _over and _down.

Create your MovieClip:

var clip:MovieClip=new MyClip();
clip.buttonMode=true;
// Need this, because otherwise any interactive children will break the button behaviour
clip.mouseChildren=false;
clip.stop();

Now when you attach your clip to the display tree, it'll show up, over and down states as appropriate.

This is an undocumented feature of Flash.