Why do some sites load so slowly?

I've given up trying to come up with something profoundly intellectual or referentially cute to title this post with. Being a real let's-find-out-what's-under-the-hood-of-web-apps guy, I'm too busy racking my brain trying to figure out why some big-name sites load so damn slow. I'm talking those destinations on the Web that regardless of client-side Internet connectivity, processor power, memory or browser just won't kick-in like all the rest.

Michael recently released built WebWait, a slick web app to test any URL's loading speed under a variety of conditions. So using this for scientific data and the basics of common sense, consider the following:

• A local friend's blog isn't exactly a speed demon, typical of most hobbyist projects, but likely because of the low-tech architecture...cheap host with limited outgoing bandwidth, CGI as opposed to FastCGI, top-heavy CSS markup, PHP back-end calling uncached data and so forcing database operations each and every time out.
• Flickr - this is what started this whole inquisition. Granted, the site gets a slight pass because Yahoo!'s injected a ton of resources and money, and it's core functionality is to deal with image processing, so it's not just text, but for months I've wondered why the wait.
• Digg's search tool - this seems to be the only thing holding back my favorite news site from being an optimal performer. Long, drawn-out waiting periods between queries gets annoying.
• Wikipedia - this is an iffy one, with some searches coming back really rapidly, and others taking eons to return my desired article. Sure, they're collective online properties have broken into the Top 10 list of most-visited sites, so traffic is a major concern, but what gives?
• MSNBC.com - the news giant has no excuse to not perform. Ever since they did their most noticeable revamp and implemented .NET, performance has gone right into the toilet. And I don't get it - they're supposedly running on a platform that performs and scales better than anything else on the market, with an architecture utilizing top-notch know-how, what's assumedly a massive server farm, and crowds of developers. What's also weird is that the site apparently is pre-compressed. The ads and Flash gimmickry I could do without, truth be told.
  

Yet despite my loathing of the time I spend waste waiting for pages to continue loading, I continue to visit them, each several times daily. I've got no solutions for the speed conundrum, other than pointing out what might be causing the lags. I'm still a registered, devoted user...albeit with waning patience.