I prefer to read about Asynchronous method calling.
Please read MSDN : Async Method call in ASP.NET
In web application, you really need to look into optimization of your time consuming methods. You need to design your UI very smartly so page load will not take more time. you can use Paging/Tabs/PopUp pages/Dialog box
. Do not load everything in one go.
There should not be any timeconsuming method except Calling Web method/Calling remote database/ Heavy UI.
(And even this should be optimize)
Hope this information helps you,