Just my personal opinion but I *hate* "page loading". I find myself swearing at the monitor "Yes I know it's [email protected]@?y loading... I've got a handy dandy bar on my browser that tells me that it's loading ... ".
It's bad enough having to wait whilst some Flash heavy page loads without adding insult to injury by being told that I am waiting. I usually end up not bothering to wait.
Just my two penn'orth :-)