Progressive JPEG is much smoother than progressive GIF.
There is one problem: most web browsers don't support progressive JPEG yet. This means that progressive JPEG images will not display in those browsers at all (they will appear to be "broken"). Netscape's Netscape Navigator 2.0 beta 1 and Spyglass' Enhanced Mosaic 2.1f5 and later do support progressive JPEG.
A note to browser authors: the independent JPEG group library supports progressive JPEG, so get off your butts and implement it! This is impressive stuff, and there are no fees to use the technology.
"OK, I understand that not everyone can see progressive JPEGs yet. How do I make these nifty new images?"
InTouch Technology <URL:http://www.in-touch.com/pjpeg.html> offers an informative page on the subject, including information about their Image Transmogrifier software, which can produce progressive JPEG images.
Also see the Independent JPEG Group's JPEG FAQ <URL:http://www.cis.ohio-state.edu/hypertext/faq/usenet/jpeg-faq/top.html> for more information about JPEG and software that can produce JPEG-format images, including progressive JPEGs.