I personally hate loading on the WiiU, it just feels very slow for how powerful that console should be (and i'm not going off memory, me and the wife have been playing MK8 recently and the initial boot time is just soo bad).
With that said, the ones I feel nostalgia for is the retro game loading screen that showed up in some namco games. Specially since doing well in the original ridge racer would net you special cars for your effort (love that).
The only other one and I him/haw if this counts as it's kind of loading but also kind of not, is the midway pre game/fight screen where you can enter codes for random effects. This use to be fun as a kid as I'd just try random shit till I found one that works and try to remember it for future use.