Jacob Nielsen writes about three important web page loading time limits and what the user feels about each:

0.1 seconds: Gives the feeling of instantaneous response.
1 second: keeps the user's flow of thought seamless.
10 seconds: Keeps the user's attention. From 1–10 seconds, users definitely feel at the mercy of the computer and wish it was faster, but they can handle it. After 10 seconds, they start thinking about other things, making it harder to get their brains back on track once the computer finally does respond.

A 10-second delay will often make users leave a site immediately. And even if they stay, it's harder for them to understand what's going on, making it less likely that they'll succeed in any difficult tasks.

Source: Useit.com