I'm probably the last person to figure this out, but just in case I'm just second-to-last, here's something I just figured out: In AS2, you could use _root._url to figure out the name of your SWF. In many of the projects on which I work, such functionality was precious! I was sad to lose it with AS3...until today!
That's right! While updating a class for use in AS3 projects, I needed an alternative to _root._url. A quick visit to Flash's help files (I know!) revealed the following:
myDisplayObject.loaderInfo.url
How is it that I've never seen nor heard about that until just now?! Ack!
Well, there it is! Now all of us know how to get the filename of our SWF!