The last suggestion is the best. An anchor tag with the href set to "#" will navigate to the TOP of the page when clicked, which isn't quite the same thing as "go nowhere".

Similarly, using an empty JavaScript is... well, silly, in my opinion.

So I second IAMMATT's suggestion: just style a normal element, such as span, to display the hand cursor.

However, here's my standard scold: When a user sees their cursor turn to a hand, they expect that clicking will DO SOMETHING, in particular, that they will navigate somewhere.

So, creating an element that gives the hand cursor but that does nothing, violates the User Model, which is very nearly always a bad, bad idea.

EDIT: I re-read your original post. You want a hyperlink that runs a Javascript when clicked, so the
<a href="javascript:myFunction();">Run your function</a> is the proper method for this.