Yes--and there can also be some noticeable lag if the device is syncing other data in the background while connected to a network.
Keep in mind, though, that more and more games are requiring a network connection upon startup in order to check the license--which I HATE, because if I'm on a plane or something and want to play, I don't want to be blocked from playing a game that I bought (or got for free) just because the device can't access the web at 40,000 feet.