Splash screens are often pretty much useless - unless, of course, it's combined to actual loading status information. I know what program I just started - if not, I'll soon find out. For a good example of a nice splash screen, try GIMP - the splash screen shows the program logo and shows what plug-ins it has checked out.
Here's an important design issue: If you make a program that is supposed to run when the user starts his/her session (boots computer, or logs in, or whatever), don't force the splash screens to be displayed. Just leave them out - or make them extremely optional. It's usually okay to show a splash screen when the application is explictly started, but at logon phase, it's not nice.
(I can imagine the tech support calls from confused newbies. "I used to boot the computer to Windows, but when I installed my anti-virus program, it has booted to it every time. How can I make it boot to Windows again? Thanks.")
The reason? When I start up my Windows 98, it shows a couple of useless splash screens: ZoneAlarm announces its existence, as does F-Secure anti-virus toolkit and something it uses that's called Backweb. It's always as exciting to see in which order they appear that time, and since they overlap and only topmost can be seen, there can be only one. Thrill of a lifetime. (Ah, the joys of being an easily amused nerd. =) None of these splash screens can be turned off, which is a shame. I'm glad they don't steal the input focus, though. Now that would suck.
Now, in Linux and X11, I had two apps that tried to force me to look at the splash screen: "XScreenSaver" and "hotkeys". Guess what I added to startup parameters? -nosplash and -Z, respectively - I have my own "splash screen" that shows a huge bunch of useless information with xmessage program when I log in.