Tsugunai: Atonement would be an interesting game to play if it wasn't so God[darn]ed slow, but that's just poor programming rather than loading times.
The PS2 port of Ibara has some pretty bad loading times, as do a few of the games in Taito Legends 2. I don't hate either, though, because they're excellent games. So I guess I can't really think of any examples that properly fit this thread.