I've found a few things help me connect quickly.
If you don't use multiple connections, make sure there are no other connections listed on the 'Wireless' tab of the 'Network Connections' dialog box (right-click on the applet and choose 'edit connections').
Make sure you have 'Connect Automatically' checked on your connection. I assume you already have this (I don't believe it will connect automatically at all without it).
I can connect when using 'Open System' type authentication (wireless security tab), however I connect much, much faster when using 'Shared key' authentication.
Through trial and error I've found that sometimes right-clicking the network applet and disabling wireless and then re-enabling it causes it to connect right away (although admittedly this is less than ideal).
You can also force a connection by choosing 'Connect to Hidden Wireless Network' from the applet, selecting your wireless connection from the 'Connection' drop down list, and then clicking the 'Connect' button.
If the 'Connect' button is greyed out, you're likely experiencing Bug# 446394 still present in 9.10 (Karmic). This is a Network Manager bug. There is a newer (not yet supported) release directly from the Network Manger team PPA which fixes this and allow you to click the 'Connect' button.