You can use the Streaming client - i.e., It's a small download itself, and it downloads as your play... it first downloads the areas you're in... and while you're questing in them areas or w/e, it downloads w/e in the background.
Pretty good.
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Is there any point to that though? It's a big trade off because at some point you need to decompress the data which takes processing time. File storage is very very cheap now, £50 for 2TB, if WoW is around 20GB that's ~50p to store it. It's very little when compared to upgrading a processor in order to deal with the increased load time. Not to mention the extracted files would need to be stored in RAM which is also much more expensive that HDD space.
Compression is the enemy of load times, and most people would rather pay more upfront and to not be inconvenienced when it matters. For the same reason people get faster internet connections really. (I <3 my fibre optic)
I wouldn't suggest playing WoW. Not only is it like crack but it's a dying MMORPG. If you're really keen on playing a game try out Rift.
I'm in-game AND downloading as we speak. It doesn't lagg at all, but as Robert said it does take a little longer to enter an instance for example.
On top of that, my internet speed sucks at the moment (barely 300kb/s).
Playing on Thunderhorn (H), in case anyone is intressted.
Slow connections handle WoW well without lag. The load times of instances and similar are just longer.
I would love to play WoW cataclysm to its fullest..
Unfortunately, my computer won't allow me ..
Feels so bad.
Bump.
Buuuuuuuuuump.
Boomp.
I should be getting my old gaming PC back this week and I've been rather tempted to started again and see how it goes. If I do, I'll give you a shout. Only thing would be I'd be no where near as active as you. It's gotten very easy to level anyway though hasn't it so that shouldn't be a problem.