I'm following this bit of advice:
[...] which is better: cursors or WHILE loops? Again, it really depends on your situation. I almost always use a cursor to loop through records when necessary. The cursor format is a little more intuitive for me and, since I just use the constructs to loop through the result set once, it makes sense to use the FAST_FORWARD cursor. Remember that the type of cursor you use will have a huge impact on the performance of your looping construct.

— Tim Chapman in Comparing cursor vs. WHILE loop performance in SQL Server 2008

The linked article contains simple examples of how to implement each approach.

Some of these depends on the DBMS, but generally:

Pros:

• Outperform loops when it comes to row-by-row processing
• Works reasonably well with large datasets

Cons:

• Don't scale as well
• Use more server resources
• Increases load on tempdb
• Can cause leaks if used incorrectly (eg. Open without corresponding Close)

I would ask you what you are doing with that cursor/while loop.

If you are updating or returning data why don't you use a proper WHERE clause. I know people who would say you should never use cursors.