It moves a lot faster between pages that don't require fresh data because it uses database storage on the iPhone and Android's built-in Google Gears implementation, which supposedly makes it work better on a slow connection besides giving it some offline powers. Search and loading emails from the main screen isn't necessarily quicker, but picking contacts and opening particular messages within a thread—yes, threaded conversations work just like real Gmail now—is definitely quicker. You can also get to other Google apps (like your calendar, which is improved now too) in a snap.
It feels more like an app with the sunburst style progress spinner anytime you need to load stuff, and a button for "load more messages" at the bottom that responds nearly instantly, rather than having to load a whole new web page. Search is no longer shoved at the bottom of the window, there's an actual button for it on top (which is great since the reason I fired up the Gmail site was for search). There's a "floaty bar" that follows you down as you scroll with functions like delete, archive and report spam. The new UI feels a bit more finger friendly, and it uses Gmail's newer color scheme, with a grayer blue and more subtle colors that makes it more readable, too.
If you don't like it, you can always go back to the old site, too. [Gmail Blog]