Sods law says that as soon as I start doing something else, the load will finish. So I keep my old Gameboy colour and pokemon blue next to the computer - I start it up, and the loading will always be finished by the time I've loaded my save file.
If it's on my PC i usually have music playing, if it's console I tend to just wait, they really aren't very long on current gen consoles. I don't even remember them being particular long on my psone or n64. Are they really that much of an issue?
I just sit there. And load the game. I guess I can be patient and sit there for a second. Sometimes I might even get up and grab something to eat. I just wish that they would play a video or something for the load screens so you can be entertained a bit.