Time loading is all about how fast your server connects to the internet. I doubt a theme has anything to do with the load time. Its mostly plugins that will slow your site down. If you want to look at themes i would suggest elegant themes. You can see my website ( link in signature) I am running one of their themes. But the theme i have on my site is highly modified.
The three I see mentioned most and used by professionals are Thesis, StudioPress, and Woo Themes. Personally, I settled on using StudioPress with child themes for larger authority sites, and Artisteer to build quick themes for smaller sites.
My theme is able to load in less then 2.5 seconds , This is my custom made theme if you are interested. Please Pm Me.
I have read somewhere, Thesis theme is the fastest, not sure about it, but it also depends on how big your site's files, using image or css sprite etc..it also matters IMHO..
I personally recommend for Elegantthmes.com the cheapest and got theme for almost every niche and i am their customer for almost a year.....
I have been using pagelines they are the best in providing you themes and they have developed a great platform where you can design you theme the way you want.
I got a great template from Woo Themes. I think somebody has already recommended them-but there very good and they have 10's of different ones.
+1 for ThemeForest, very good themes at reasonable prices. Although Wordpress' TwentyEleven is great and highly customizable with a bit of CSS changing.
The loading part ... well it's more related to the hosting and user connection to the net. Otherwise the best is more about your personal view. I would look for free templates for wp directly from the admin of wp. If you want to buy templatemonster ( coupons are available ).