It's expected on resource constrained devices that non trivial actions will take at least a little time to execute.
The most commonly recommended best practice for dealing with this is to use animations to give the user the impression of perceived performance. This has been a recurring recommendation throughout the CTP and Beta phases by the product team and in presentations at Mix 10 and Tech Ed 2010.
Page transitions are a common approach to this.
Discussed here by Kevin Marshall, prior to inclusion in the November toolkit.
WP7 – Page Transitions Sample
And here, referencing the control in the toolkit.
Transitions for Windows Phone 7
There are also a number of very basic optimisations you can do that will give you some bang for a little effort.
I would also reiterate Matt's suggestion for not loading controls that aren't used initially.
If you decide to go the extra mile, there is more you can do to optimise page loading. These two posts are worth absorbing in that regard.
Creating High Performing Silverlight Applications for Windows Phone
WP7 Development Tips Part 1 - Kevin Marshall's Epic Work Blog for Awesome People
If using Listboxes, also familiarise with Oren Nachman and David Anson's
WP7 Silverlight Perf Demo 1: VirtualizingStackPanel vs. StackPanel as a ListBox ItemsPanel
Keep a low profile LowProfileImageLoader helps the Windows Phone 7 UI thread stay responsive by loading images in the background
Never do today what you can put off till tomorrow DeferredLoadListBox (and StackPanel) help Windows Phone 7 lists scroll smoothly and consistently
and be sure image sizes are optimised for their display size.