Here's how I have done it. The following code allows you to specify a start and end angle as well as an inner and outer radius (useful for doing those trendy donut style pie charts). The solution doesn't rely on approximating a curve with line segments and can be animated as per the clock example mentioned in the original question.
First create your Raphael drawing area; the following assumes a div with id "raphael_paper" in your HTML file:
var paper = Raphael("raphael_paper", 800, 800);
to this Raphael object we add a custom arc attribute, a function which takes the center of a circle (x and y coords), a start angle, an end angle, an inner radius and an outer radius:
paper.customAttributes.arc = function (centerX, centerY, startAngle, endAngle, innerR, outerR) {
    var radians = Math.PI / 180,
        largeArc = +(endAngle - startAngle > 180);
        // calculate the start and end points for both inner and outer edges of the arc segment
        // the -90s are about starting the angle measurement from the top get rid of these if this doesn't suit your needs
        outerX1 = centerX + outerR * Math.cos((startAngle-90) * radians),
        outerY1 = centerY + outerR * Math.sin((startAngle-90) * radians),
        outerX2 = centerX + outerR * Math.cos((endAngle-90) * radians),
        outerY2 = centerY + outerR * Math.sin((endAngle-90) * radians),
        innerX1 = centerX + innerR * Math.cos((endAngle-90) * radians),
        innerY1 = centerY + innerR * Math.sin((endAngle-90) * radians),
        innerX2 = centerX + innerR * Math.cos((startAngle-90) * radians),
        innerY2 = centerY + innerR * Math.sin((startAngle-90) * radians);
    // build the path array
    var path = [
        ["M", outerX1, outerY1], //move to the start point
        ["A", outerR, outerR, 0, largeArc, 1, outerX2, outerY2], //draw the outer edge of the arc
        ["L", innerX1, innerY1], //draw a line inwards to the start of the inner edge of the arc
        ["A", innerR, innerR, 0, largeArc, 0, innerX2, innerY2], //draw the inner arc
        ["z"] //close the path
    ];                   
    return {path: path};
};
now we can use this to draw arcs of a specified thickness, starting and ending wherever we want them to eg.
var redParams = {stroke: "#f00", "stroke-width": 1, fill:"#eee"},
    greenParams = {stroke: "#0f0", "stroke-width": 1, fill:"#eee"},
    blueParams = {stroke: "#00f", "stroke-width": 1, fill:"#eee"},
    cx = 300, cy = 300, innerRadius = 100, outerRadius = 250,
var red = paper.path().attr(redParams).attr({arc: [cx, cy, 0, 90, innerRadius, outerRadius]}); 
var green = paper.path().attr(greenParams).attr({arc: [cx, cy, 270, 320, innerRadius, outerRadius]}); 
var blue = paper.path().attr(blueParams).attr({arc: [cx, cy, 95, 220, innerRadius, outerRadius]});
This should result in three grey arc segments with red, blue and green 1px borders.