I have ethernet in my high-rise apartment but it's a slow connection speed of about 990 kbps...significantly less than the 1.5 mbps technical requirements for Roku.
I was getting "loading, please wait" over and over and over...I finally called Roku and in passing the guy mentioned that an HDMI cable requires more bandwith...I think it was 1.8 MBPS. So it actually sucks bandwidth. That's what I was using to connect. So I switched to the component connection cables and I get "loading, please wait" far less. Still a couple times a movie, but nothing like before.
Of course, I'm using my Internet browser now, which has caused the movie to buffer...
It's never going to be perfect but still very enjoyable, by and large, and I can live with a re-buffer or two a couple times a movie.
In sum, I guess I would say, if you are operating with less than 1.5 MBPS, or getting "loading, please wait" a lot, use component or composite cables instead of an HDMI.
Hope that helps.