How to make a loading screen?

How do you make a loading screen? By that i mean show a loading image and a progress bar while a scene is leading and have it disappear once the scene is fully loaded and ready to be played.

I am specifically interested in doing loading screens in a iPhone game environment, if this differs at all from the normal way of doing it.

Basically any script updates will stop when Application.LoadLevel() is called. Best you can do is try to minimise loading time by preloading as much as possible or loading an empty scene and then instantiating all your objects while you keep the static loading image up. At least you can have some music playing.