You could just make a level load that's just a loading screen, with 3dText centered on the camera while the actual level loads. //At the top of the Screen: GameObject -> Create New -> 3dText(Gui Text might also work)

and then have THAT loading screen load your next level! Then you could throw in a cool splashscreen while the next level loads, although to be honest, if I ever had to load a unity level for more than a few seconds it's usually too choppy to even play

From Unity 3d forum - create a small game object, with a script attached, that sets DontDestroyOnLoad in its awake function. This game object displays your text for "please wait, loading..." and then after a few seconds, and definitely after the level has loaded, the game object destroys itself.

Code:

function OnTriggerEnter(col : Collider)
{
GameObject.Instantiate(yourLoadingGameObject, Vector3.zero, Quaternion.identity);
Application.LoadLevel(3);
}

Then stick this script on whatever object you want to instantiate just before you load your level. Code:

public class LoadingMessage : MonoBehaviour
{
    void OnLevelWasLoaded(int level)
    {
        Destroy(this.gameObject, 3.0f);
    }

    void Awake()
    {
        DontDestroyOnLoad(this.gameObject);
    }

    void OnGUI()
    {
        GUI.Label(new Rect(50, 50, 200, 25), "Loading next level...");
    }

}