Yeah, I think it would be cool to have a progress indicator, but I don't know of any easy way to do it. I'm sure some savvy Javascript/AJAX/Flash/Etc. developer might be able to come up with something.
It might be worth doing a Google search on it...
But it seems that your real issue is the long download time, right? Your site takes a long time to load, and you want your visitors to know that something is going on. There are many things you can do to optimize your WP site so that it doesn't take so long to download. I would suggest doing some Forum and Codex searching on that, because there are many other threads discussing the minification and optimization question.
Good luck,
MindBlender 3D