This O’Reilly study shows:

Given a page load delay how much (as a percentage) Revenue / User decreases: 

500ms / 1.2% 

1000ms / -2.8%

2000ms / -4.3%

From Bing.

From the Obama campaign, a 60% increase in speed meant a 14% increase in donations.

http://velocityconf.com/velocity2009/public/schedule/detail/8523

and 

http://marakana.com/s/post/1432/how_fast_are_we_going_now_web_performance_Steve_Souders_video