A fan asked Bashiok about loading screens for Diablo 3, and he gave a very encouraging reply, then elaborated on the technical schematics in a second reply.
Bashiok: There aren’t any loading screens. Personally I think it’s amazing and I don’t understand the magic the programmers have worked, but the game is instant or near instant. The same is true for initial game load. Start up the game, create a character, click a button and the game world shows up. No waiting and no real discernible pause. Mileage may vary slightly of course, but it would (from what I’ve seen) be in the realm of a second or two second pause at most.
The keyword is to load stuff dynamically in a VERY optimized way 😀
Bashiok: ITS MAGIC
As best I recall from last year’s Blizzcon demo, there were essentially no loading screens on the demo, unless you joined an MP game and had to wait for the other players to make their character choices and get synch’ed up.