They start buffering low-bit-rate/low-picture-quality video encodes to begin playback as quickly as possible. Checking multiple devices that I own I find that it generally seems to start buffering the highest bit rate encode within 6-7 seconds but in that first 6-7 seconds has buffered 30 seconds worth of content at various lower bit rates which it will play out before it gets to the best quality. Apparently different players get connected through different CDNs so the connection you get on one device at a given time may deliver greater and/or more stable bandwidth than a connection on another type of device.
As a sanity check play "Example Short 23.976
", a clip with a bit-rate/resolution information overlay on each of its video encodings. Watch it and you can clearly see the player stepping through the video encodes and get an indication of current conditions on your connection to Netflix's servers.
Different players have different buffering strategies and some work better for starting quickly and getting up to high quality video encodes faster. I find that my PS3's start up characteristics are similar to my Roku 2's when I start the first title after running the app (start in about 6 seconds, ramp up to 1080p encode in 30 seconds or so), but subsequent starts of any title without exiting the app go twice as fast (start in about 3 seconds, ramp up to highest in 10-16). The Xbox always seems to start with the 5th highest encode (1050 Kbps 640x480, what the quality indicator on some players call "Medium/SD"); that may differ for people with slower service. The Xbox gets up to the best video encode it can get (the highest bit rate 720p encode) in about 20 seconds.
You might like the results that you get using the old non-adaptive-bit-rate Roku Netflix player but those players don't have access to the 1080p encodes, 5.1 sound or closed captions.
Adaptive Bit-rate Streaming is becoming the standard for many services (and being standadized); get used to it.
Does ROKU have any suggestions to improve the situation?
They give some tips in this