I believe that as long as you show the user that something is happening, preferably by showing them how long they have to be patient, there is not much to worry

I believe that as long as you show the user that something is happening, preferably by showing them how long they have to be patient, there is not much to worry about. Unless we are talking about ridiculous download times. Of course, what is ridiculous depends on the perceived value of your offering: people don't mind waiting 45 seconds for some flash movie, so obviously it's not a complete showstopper.