Most sites tend to use small Flash MC’s embedded into the HTML say as a banner or in a table or even as the menu. However there are a lot of full Flash sites out there but these require a certain level of skill to build as the file size is important as you don’t want to make a Flash movie that is 600k and expect people to wait for it to load.
The way you would tackle this is by splitting your site content into seperate movies and load these in and out of your main movie (_level0).
Using clever preloaders can also help.
If you are going to make a full flash movie you should try and avoid the following:
Importing graphics - Graphics that are imported into Flash can considerably increase the file size. - If you do need to use imported bitmaps then make sure these are optimised as much as you can possibly spare - MM Fireworks is great for image optimisation.
Breaking apart fonts - By breaking a font apart you increase the file size dramatically.
Incluse all font outlines in HTML - If you are using HTML text in your Flash Movie then try to choose a font most people will have on their machines or else you will need to embed font outlines in order for them to see your nice font and again this makes your swf file much bigger.
Re-drawing graphics - Try not to redraw shapes but use an instance of an existing symbol. ie: if you are animating a car driving and you have the wheels revolving then instead of animating two wheels just animate one and turn it into a MC and then you can use this again and again without increasing the file size by much at all.
Hope this helps