Have you ever had a game that took more than one second to load a layout? So are progress bars really necessary? I have to agree that no progress bars makes for a better experience when playing a game. Even a progress bar as alee described - loading a file then updating the screen - is a complete waste of time, because after each file is loaded, the application is doing a full render of the entire screen then waiting for the vertical trace on the monitor. So your application spends 90% of the loading time idle, waiting, rather than loading as quickly as possible so as to not keep the user waiting.
It's also easy to spot fake progress bars - usually there's no apparent system activity while a progress bar increments suspiciously, leading to a level with nothing particularly resource intensive on it, where other games can load similar or more complex games instantly. Seeing a fake progress bar most gamers I'm sure would facepalm and think, "jeez, this thing is useless..."