Go to System Preferences > Accessibility, then click on Display. Drag the Cursor Size slider from Normal (smallest) toward Large. Find the size you want to use, and close the preference pane.
I have a 27" Thunderbolt Display, and I find the normal-sized cursor a bit small, so I've set mine to be a bit larger. You may find this to be a useful tweak as well.
Note that some applications may not use the changed setting. Feel free to post in the comments any apps that don't inherit this setting.

