One could change the background image, perhaps giving a countdown or a slide show.

Personally, I do not like those please wait screens. When I first saw the TSU9600, the demo program threw up those screens and I was ready abandon the Pronto. Fortunately, I looked into things a little deeper and found that they were merely part of the demo program, not an intrinsic TSU characteristic.

I don't think that the user needs to be entertained while the projector cools. If the equipment requires long command sequences, I recommand using an RF option. Even with the on screen entertainment, one cannot assume that the user will keep the remote pointed in the correct direction long enough for all of the IR commands to be emitted.

With some ProntoScript, you could fetch the weather or an RSS feed while waiting.