There is a bug in Microsoft Internet Explorer (at least at present) that means that often, a progressive/interlaced JPEG will actually NOT show at all whilst loading, suddenly appearing only when the entire picture has loaded. A regular NON-interlaced/NON-progressive JPEG will display line by line as it loads, which paradoxically gives the illusion that it's loading faster. MSIE definitely has this one backwards!!
This behaviour is not apparent in other browsers such as Mozilla/FireFox - in these browsers, the image loads progressively, as it should.