Slow response from 'SELECT * FROM table'

Hi,

   I have table with 30 columns and 30000..500000 rows. When I make
'SELECT * FROM table' postgresql start doing something and return first
row after 10s (for 30k rows) and after 5min (500k rows). It looks like
it copy whole response to temp space and after that it shows it.
   I don't know why. I tested same table structure and datas on Oracle
and MSSQL and both returned first row immediatly.
   Have someone any idea?

                            Jirka Novak