I have a script that fetches several web pages and parses the info.
(An example can be seen at http://bluedevilbooks.com/search/?DEPT=MATH&CLASS=103&SEC=01 )
The actual wait is probably not in urllib2
but in the server and/or your network connection to the server.
There are 2 ways of speeding this up.
multiprocessing
lib to make things pretty easy.