The tips I offer here won't work for everybody, although they certainly will help some. I offer them to illustrate a larger point and hopefully to encourage people to persist with Mac OS X even if they feel that it is a barrier to their productivity at first. This takes time. One of Mac OS X's selling points is that it has fully preemptive multitasking. This is the cursor that Mac OS X displays while the front most application is busy doing something and is not ready to receive user input.
Users get frustrated waiting for it to go away because it impedes their workflow.
Even if the Finder locks up for minutes at a time, you can mouse over the dock and note that the textual labels still pop up instantly and you can switch to other apps. So the solution is to take care of the multitasking yourself. If one app is busy, switch to another and do something else. Run a lot of apps at once. Keep multiple tasks in progress at any one time.