Splash screens that consist of little spinning circles and the like are pretty much worthless. They show something is going on, but for all the end user knows it may go on for a very long time. An advancing status bar is a little better, since it describes visually that things are proceeding. Again though, the bar is rarely linear with time, so it might get up to 95% quickly and then take 5% for the last bit. (I cannot count the number of OS installs I have been through where a status bar stops at 99% for a long, frustrating time.) The approach I prefer is probably one most end users would not initially much care for: a small text box that scrolls a small number of lines up with "stage" status messages.
I fully agree. Adobe Illustrator uses this approach, beside a launch feedback, the splash screen, with its stage informations, helps to know which part takes the most time to launch. For example, by seeing that fonts take a lot of time to load, you could choose to get rid of some of them in order to speed the software's launch.
T.