When a user can see how far a long a process is, even if that indicator is not fully representative of time left, it makes the process seems shorter. This is the reason I hated the removal of the loading indicator in the location bar of Safari 4; it left the user with a vague spinning wheel that didn’t even try to indicate progress. UXBooth has a nice write up about such loading indicators:
Computer users travel a thousand miles a minute online. It can be assumed that a user is not committed to your specific process at any given time. While a load time is being endured it is safe to say that users do not wait on that page but also work on completing other tasks at the same time. Users do not sit down and open one web page at a time, that is not the way it works. While your user is waiting it is critical you give them the option to leave the window unattended. Also, as the process ends you may be alert them in a subtle way, as to not interrupt any other expeirence they are currently involved with. Some options may include a low volume beep or a status update in the title of the web page or window.