When you open it for the first time, it downloads a bunch of files from the server... then everytime you connect to the server, it takes a while because it's streaming data (I believe). But, this isn't the way CS 1.4 final will work. Steam is just an ongoing development project for Valve which won't be implemented until later. Once the final version of 1.4 is out, it'll work like all the past versions.
I love the firstperson spec mode

And wow, there's a lot of people who bitch because of cheaters. Rightfully so, but all you have to do is find a good server/clan to play with, and the cheating issue will only pop up once in a blue moon. Random pubs are pretty sad, yeah, but I love clan matches...