I've seen too many instances where a cursor can be simply rewritten as an update statement.
I was working at a client site where one of their process calls a stored procedure that uses a cursor do some updates. That stored procedure would run over the weekend to update about 2000 records and bog down the production SQL (You'd think I was joking). We re-write the stored procedure. Granted, the update itself is about 50 lines with 5 tables, subqueries, and left outer joins, but we got the stored procedure to perform the exact updates in 35 seconds.
A performance improvement of how many percent? I don't even know how to compare.
This link only shows you how to update 1 table: http://www.w3schools.com/sql/sql_update.asp
You can find more detailed (and better) tutorial here: http://msdn.microsoft.com/en-us/library/aa260662(SQL.80).aspx
The following is a quick reference for myself.
UPDATE table1
SET table1.field1 = table2.field2
FROM table1, table2, table3
WHERE xxx