Here is a Manipulate to design yourself an Arrow:
DynamicModule[{top, baseMid, rightBase, outerMidRight, innerMidRight},
Manipulate[
top = {0, 0};
baseMid = {1, 0} baseMid;
rightBase = {1, -1} leftBase;
outerMidRight = {1, -1} outerMidLeft;
innerMidRight = {1, -1} innerMidLeft;
h = Graphics[
{
Opacity[0.5],
FilledCurve[
{
BSplineCurve[{baseMid, innerMidLeft, leftBase}],
BSplineCurve[{leftBase, outerMidLeft, top}],
BSplineCurve[{top, outerMidRight, rightBase}],
BSplineCurve[{rightBase, innerMidRight, baseMid}]
}
]
}
],
{{baseMid, {-2, 0}}, Locator},
{{innerMidLeft, {-2, 0.5}}, Locator},
{{leftBase, {-2, 1}}, Locator},
{{outerMidLeft, {-1, 1}}, Locator}
]
]

It is easy to add more control points if the need arises.
The arrowhead graphics is put in the variable h. Note that it contains an Opacity function for better visibility of the control points. You need to remove that if you want to have a fully saturated arrow head.
Some examples generated with this Manipulate using:
Graphics[
{ Arrowheads[{{Automatic, 1, h /. Opacity[_] :> Sequence[]}}],
Arrow /@
Table[{{0, 0}, {Sin[t], Cos[t]}}, {t, 0, 2 \[Pi] - 2 \[Pi]/20, 2 \[Pi]/20}]
},
PlotRangePadding -> 0.2
]

The code for the arrow heads can be found in h. Just copy the graphics or the FullForm to store it for later use.
h /. Opacity[_] :> Sequence[] // FullForm
(* ==>
Graphics[{FilledCurve[{BSplineCurve[{{-0.496, 0.}, {-1., 0.48}, {-2,1}}],
BSplineCurve[{{-2, 1}, {-0.548, 0.44999999999999996}, {0, 0}}],
BSplineCurve[{{0, 0}, {-0.548, -0.44999999999999996}, {-2, -1}}],
BSplineCurve[{{-2, -1}, {-1., -0.48}, {-0.496, 0.}}]}]}
]
*)
EDIT
One more control point will cover most common shapes:
DynamicModule[{top, baseMid, outerMidRight, innerMidRight,
innerBaseRight, outerBaseRight},
Manipulate[
top = {0, 0};
baseMid = {1, 0} baseMid;
innerBaseRight = {1, -1} innerBaseLeft;
outerBaseRight = {1, -1} outerBaseLeft;
outerMidRight = {1, -1} outerMidLeft;
innerMidRight = {1, -1} innerMidLeft;
h = Graphics[
{
Opacity[0.5],
FilledCurve[
{
BSplineCurve[{baseMid, innerMidLeft, innerBaseLeft}],
Line[{innerBaseLeft, outerBaseLeft}],
BSplineCurve[{outerBaseLeft, outerMidLeft, top}],
BSplineCurve[{top, outerMidRight, outerBaseRight}],
Line[{outerBaseRight, innerBaseRight}],
BSplineCurve[{innerBaseRight, innerMidRight, baseMid}]
}
]
}
],
{{baseMid, {-2, 0}}, Locator},
{{innerMidLeft, {-2, 0.5}}, Locator},
{{innerBaseLeft, {-2, 1}}, Locator},
{{outerBaseLeft, {-2, 1.1}}, Locator},
{{outerMidLeft, {-1, 1}}, Locator}
]
]


Arrowheads? – Heike Jun 19 '12 at 17:42StreamPlothas a miriad of different built-in arrow styles). – István Zachar Jun 19 '12 at 17:44