During a major roll out of software using Group Policy on a Windows 7 Client System, I had cause to want to know what was happening during the roll out, to see if any software was sticking. To enable more detailed messages on screen (other than "Please Wait") enable the following in an appropriate GPO:
Computer > Policies > Administrative Templates > System > Verbose vs normal status message
This setting displays a number of extra status messages during the start up and shutdown of the computer and when the user is logging on and off. Some of the verbose status messages you will see are (but not limited to):
Playing Logon Sound
Applying Power Settings
You will still see your Applying Computer settings and Preparing Desktop messages however these will be shown for a lot shorter time.
Also by enabling this option end users think that their PC is faster, due the reduced time each message is displayed. It certainly seems to speed it up for me anyway. This is still a handy setting to enable as at the very least will help your IT support troubleshoot log on performance issues.
This setting will work on Windows 2000 and above and it will also show the processing of newer Group Policy Preferences.