Can I play slideshows, music or animations in the loading screen?

What are all the options I have for making a sweet loading screen in Unity?

Things I had in mind were:

1.A spinning or animated sprite for the bottom corner of the screen

2.Some music in the background

3.A slide show of controls and tips for the gameplay

Yes, you can do it.
The right API is Application.LoadLevelAsync, you can find all the reference here. It does simply load the next level in backgroud, so you can show whatever you want in the meanwhile, just as you would do normally. You can also read how much of the new level has been loaded, so you can convert that value in a progress bar.
Remember that this API works only with Unity Pro.

Thanks man. So while I am still working with the free version, I could just make a scene that I can use later when I do get Unity pro. Sweet!