Particles effect in a progress bar

Particles can be nice. Marvel Future Fight loves using them (a mobile game made with Unity), usually combining them with a semi-transparent texture for a glow or haze effect. One word of warning, particle systems are 'processor-heavy' especially on mobile devices, so it is better to render/draw a particle effect and use an animated texture in Unity for some particle effects. Most great looking FX are made of several 'layers', for example, particles along with animated/rotating 'starburst' textures and a glow texture also. You could even add a semi-transparent 3D object, like an oval, to surround the progress bar like a bubble, and even animate/morph it according to loading progress (see: "unity3d .progress" -Google it).

A lot of people tend to put more work in to a 'loading animation' and just have a basic loading bar, but I like your idea of a loading bar with FX, very original.