I've been using the Zune software for years and have only just discovered this little fix. Got to say it's a God send, I can't believe I've been putting up with the marketplace being that slow until now.
All you've got to do is go in to the internet options in internet explorer and turn off automatically detect settings in Lan settings.
Is Zune Marketplace Slow? Here is your Fix | Darkside Dreamland
Sorry if this is already posted or everyone already knows about it but thought I'd post in case some people don't.