It's actually a useful feature if used right. Think about:
Online versions of presentations
Articles with multiple pages
Maybe even blogs with new entries
Any other "linear" browsing experience
Remember - user experience is key. If user thinks your site is way faster then your competitor's site - they will come back to you. Read "The Need for Speed [useit.com]" by Jakob Nielsen.
Research on a wide variety of hypertext systems has shown that users need response times of less than one second when moving from one page to another if they are to navigate freely through an information space. Traditional human factors research into response times also shows the need for response times faster than a second. For example, studies done at IBM in the 1970s and 1980s found that mainframe users were more productive when the time between hitting a function key and getting the requested screen was less than a second.
[edited by: moltar at 6:31 pm (utc) on Mar. 31, 2005]