Here's a quick solution for most of the cases:
CSS:
.iframe-loading {
background:url(/img/loading.gif) center center no-repeat;
}
You can use an animated loading GIF if you want to,
HTML:
<div class="iframe-loading">
<iframe src="http://your_iframe_url_goes_here" onload="$('.iframe-loading').css('background-image', 'none');"></iframe>
</div>
Using the onload event you can remove the loading image after the source page is loaded inside your iframe.
If you are not using jQuery, just put an id into the div and replace this part of code:
$('.iframe-loading').css('background-image', 'none');
by something like this:
document.getElementById("myDivName").style.backgroundImage = "none";
All the best!