SurferTim:
A lot of slow connections are due to excessive packet creation. Each time you use one of the following...client.print()
client.println()
client.write()...you create another packet.
This is true for the Ethernet shield but we don't know for the WiFi shield. We know the code of the library but that includes just sending the data to the embedded ATmega168 on the shield. Because currently (to my knowledge) no source code for the firmware of the WiFi shield is published, I cannot tell you what the shield is doing with the sent data. My guess is, that it accumulates the data till a packet is ready but I don't know it. The Arduino people promised to open that source code to allow us not only to study it but also to modify it, but that didn't happen yet (or it was quite a very hidden action).