Sure, here is a script I created.

It acts like a singleton, and you can easily set it up in your first scene. Just give it a texture and you are all set. You can use it like LoadingScreen.Load(levelIndex); and it will show the texture on screen.

using UnityEngine;

public class LoadingScreen : MonoBehaviour
{
    public Texture2D texture;
    static LoadingScreen instance;

    void Awake()
    {
        if (instance)
        {
            Destroy(gameObject);
            return;
        }
        instance = this;    
        gameObject.AddComponent<GUITexture>().enabled = false;
        guiTexture.texture = texture;
        transform.position = new Vector3(0.5f, 0.5f, 0.0f);
        DontDestroyOnLoad(this); 
    }

    public static void Load(int index)
    {
        if (NoInstance()) return;
        instance.guiTexture.enabled = true;
        Application.LoadLevel(index);
        instance.guiTexture.enabled = false;
    }

    public static void Load(string name)
    {
        if (NoInstance()) return;
        instance.guiTexture.enabled = true;
        Application.LoadLevel(name);
        instance.guiTexture.enabled = false;
    }

    static bool NoInstance()
    {
        if (!instance)
            Debug.LogError("Loading Screen is not existing in scene.");
        return instance;
    }
}

I just put a post up about this at Fervent Interactive Blog

I found out to do loading screen is so easy after I implemented myself. Here is to share with everyone:

static var loading_on : boolean;
var Loading_Screen:Texture2D;

function OnGUI () {
    if(loading_on){
       GUI.matrix = Matrix4x4.TRS(Vector3.zero, Quaternion.identity, Vector3(1.0*Screen.width/GameData.X, 1.0*Screen.height/GameData.Y, 1.0));
       GUI.depth =-10;
       GUI.Box(new Rect(0,0,1024,768),Loading_Screen);
    }
    if(!Application.isLoadingLevel)
       loading_on=false;
}