Google engineer Aaron Hopkins wrote a good article on page loading times (via Harry). He talks about the impact of AJAX on page load times, focusing on connection limits, latency and the large number of external objects on your typical AJAX page. He offers a variety of tips on improving page load times, including doing more with the connections you have, busting the connection limit, caching, and sending less data.
I wrote about web page loading performance a while ago, when I linked to Dave Hyatt’s most excellent explanation of the issues involved with testing page load speed. In fact the Safari browser blog endorses Aaron Hopkins article and mentions how to measure page loading times in Safari using the debug menu.
On the Mozillia front, the Tamper Data extension generates some amazing graphs of when elements on a page load and how long it takes.