The loading times are fine on the PSP for the games I have. The only one that has horrible loadings that I've personally seen is Ys VI.
Well, part of it is just that fact that other handhelds all run on solid state media, and therefore have zero load times, so even a quick loading PSP games seems like an eternity to me. There is also the crap battery life which I know is dwindling away as I watch the load screen. What fun!
Some PSP games aren't too bad, but anything US developed is really bad, and Shotoku Battle is just *terrible*. Load time is twice as long as game play time in many cases do to the quick races in that game. This is a shame since its one of the better games on the system, and the graphics are loads better than other PSP racers.
What's really incredible is that people actually used to complain about load times on the PC Engine, Sega CD, etc. The Neo CD was considered unbearably loadarific. Now thanks Sony's systems' really really long load times (all of Sony's systems so far) people have gotten used to it.