The CPU is to verify all the transactions as it downloads them.
Once you've caught up to the whole block chain, future starts will only need to download and verify new blocks. If you have to set up many wallets, you can copy the block chain files (blkxxxx.dat and blkindex.dat) from one to the others so you don't have to repeat the process for each.
Also, you can download a copy of the block chain here: http://eu1.bitcoincharts.com/blockchain/
. That's much faster, but your client won't verify it... Depends if you're paranoid.