Roku is an excellent streaming media player, but is ultimately limited by the delivery rate of your ISP's (Internet Service Provider's) continuous download speeds, used for streaming over the internet. ( Check what kind of speeds you're getting...) Go to http://www.speedtest.net/
and click on "Begin Test" There are a number of websites you can use to check your connection speed to see if this is the source of the issue.
Most often, a slow connection, (under 300kbps) will cause the issues you've described. The slower the connection, the bigger the problem. This is most observable on Roku channels that don't detect, or compensate for slower connections, especially at high definition streaming rates.
( 720 High-Def streams work well above 1.5Mbps download rates, and 5Mbps is recommended as good rate for 1080 viewing)
At just under 3Mbps over DSL, we're able to watch two movies at the same time, in different rooms, on Netfix, at 720. I've heard that some people are experiencing issues watching just one movie delivered with a cable modem... Not sure what's going on there?
Some Roku Channels are better than others at delivering the best possible viewing experience. Some use poor compression technologies, or only deliver a 1080 Definition image. Using the best compression technology, detecting best streaming rate, etc... are where the most successful Roku channels come in.
Netflix for instance attempts to detect the optimum streaming rates for slower speed connections, and automatically compensates by reducing image definition when needed.
You might try selecting a lower definition for your display from the settings menu on your Roku device... I've seen some improvement with loading issues, by choosing a lower definition display for your television, even though you might be using a high-def television.