This effect can be very dramatic: doing relatively large amounts of work to give users a correct and often updating status of progress can of course slow down the actual running time of the application (screen updates, progress display needed calculations, etc) while still giving the user the feeling it takes less time.
Some of the things you could do in GUIs:
Present some intermediate, interesting results first. "We've found 2,359 zetuyls matching your request, we're just calculating their future value".
I've seen transport reservation systems do that sort of thing quite nicely.
Showing details (such as the names of files being copied in an installation process) can often make things seem like they're going faster because there's constant, noticeable activity (as opposed to a slowly-creeping progress bar).
If your algorithm is such that it generates a list of results, and you have some way of displaying results as they're generated (as opposed to all at once at the end), do so - the sooner the user has something else to look at besides a spinner, the better.
Allow the user to do something else, while your application is processing data or waiting for a result. In application-scope you could allow to do some refinement of a search query or collect information for preparing next steps. Or just present some other "work" necessary to do or just some hints, documentation, statistics, entertainment..
Use one of those animated progress bars which look like they are doing something even when they aren't progressing. Also, as peSHIr said - print each filename that you copy and update it really fast - you could even fake it by cycling through a large string array N times a second.
I've read somewhere that if the process seems to be speeding up, it seems to be faster than when it's progressing at a steady pace. I can't find the reference right now, but it should be simple to implement.
(10 minutes later...)
A further look down Google lane unearthed the following references:
http://www.azarask.in/blog/post/hacking-memory/ http://blogs.msdn.com/time/
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