System specs?
My machine was down to 1GB (1GB failed) when I first got the game, and it was terrible at loading, switching between maps, etc etc.
Got it up to 4GB the next day, and everything loaded incredibly quickly.
Defrag your GCFs.
/thread
In Source games you can usually disable the 3D menu background (the tweak guide on www.tweakguides.com should show how), which will improve initial load times quite a bit.