Initial Sitefinity load times are quite bad. On a live site you can do things like keeping the site warm though IIS however for developers this process takes quite a bit of time.
Sitefinity caches everything, checks licenses, creates in memory pages from the content in the DB, etc. There will be a lot of small quick query's against the Sitefinity SQL database and it is important that these remain quick.
Figure: Administration -> System -> Modules
Telerik Suggestion: Have a best practise analyser wizard that is available in the backend which will look at the project and what is used and recommend settings that could be changed, modules that are not used, and any other improvements that can be applied.