The reason for the disparity between Windows and Mac here is the different way the systems approach the problem.
Whenever you view a folder of images in the Finder will have to generate the thumbnails from scratch, although I presume this would be faster if they've been loaded into RAM or something.
In Windows the first time you open the folder of images it will generate all the thumbnails (as in the Finder) but will then save these thumbnails to an invicible file. You can see that file if you copy a folder of images from Windows to Mac - 'thumb.db' or something like that I think it is called. Thus Windows only has to load this one file on every subsequent viewing.
Both ways have their advantages. Windows is faster, but that thumbs file takes up space. I can imagine it would be several mbs on a folder of over hundred images. So the Mac saves space, maybe Apple reasoned that as a lot of graphic work is done on Macs that a thumbs file could become huge. But then again hard drives are very big these days.
As for making it faster, I'm not sure you can. You could try a special program to view your thumbnails, iPhoto does of course but won't save space because it insists on having that weird way of saving things. There was a program called gBrowser, have a look on MacUpdate.com, which I always found quite good. Not sure it's still around though.