Does not work on Solaris 2.8, perl, version 5.005_03 built for sun4-solaris, neither started as perl -w tmp.pl nor as ./tmp.pl. This may be due to a kernel setting that (dis)allows setting of $0...

I modified the snippet so I can find the PID more easy for grepping:

#!/usr/bin/perl -w
$|=1 ;

print "$$: $0\n" ;
$0 = 'SET_0_WORKS' ;
print "$0\n" ;

for(0..1000) {
  sleep(1);
  print ".\n" ;
}
[download]

Under Windows NT with Perl 5.6.1, it dosen't work, as demerphq already found out.