I was always annoyed by the loading screen when moving by boat between west and east continents.
I guess this loading screen was added due to technical reasons. Likely each continent was managed by a different server.
Another loading screen that I didn't like, was the underground tram between Stormwind and Ironforge. It made the tram feel fake (which I guess it was). Would have been awesome if it really was an underground tram that ran under the game world.
These 2 loading screens broke te immersion a little bit.