I figured it out!!!
Ok, so I think I discovered a bug. Here's the deal:
With the Aero interface turned on, but with Window Animations and other Fade In/Out and Taskbar / Menu Animations turned off, that causes the hang when Unlocking Windows from a Locked state.
Leaving all of those set to Default when enabling the Aero Interface and there is no pause when returning to the Desktop after Unlocking the machine.
I tried this with a new account and with my existing account and the problem is reproducible.
I always turn those animations off because I hate waiting for the stupid things. I just want things to snap and pop into or out of existence. I only thought about trying this because I hate giving up. So, I created a new account to see if it had the problem. It didn't. Aero defaulted to on with the new account. I noticed the animations and a little light bulb went off in my head.
The problem seems to be related directly to the top selection in the Visual Effects list in the Advanced System Properties dialog: "Animate controls and elements inside windows" Toggling that option makes the problem reproducible.
I just thought I would share.
Maybe we can clean this thread up and add it to the Caveman Stickies.
EDIT: Thanks Cavedude!