Changing the image url works, but can be a nuisance if the images are not preloaded or the user's cache is disabled.
Check out sprites FTW.
http://css-tricks.com/css-sprites/
A quick definition of a sprite is a large image, containing several smaller images. So a 10x20 image, with the normal state being the upper 10x10, and the hover state being the lower 10x10. The user only sees the upper 10x10 due to the CSS:
.button
{
display: block;
width: 10px;
height: 10px;
background-image: url(to-image.gif);
background-repeat: no-repeat;
background-position: top left;
}
then on hover, it shifts to the bottom part of the image
.button:hover
{
background-position: bottom left;
}