I too had this problem, extremely.  I could not leave and reenter a city at all.  But my friend with vista 64 could.  The biggest difference was I have a dual core processor.  I was able to set the processor affinity to only use processor 0 and the problem vanished completely (I tried everything in the FAQ and nothing helped.)

To set processor affinity, you must launch the game.  Next, open task manager and find game.exe.  Right click on game.exe and choose "set affinity."  By default, both processers are checked.  If you uncheck processor 1.  Then continue loading the game, the problem goes away.  I can hop in and out of town now with 0 lag.  I have a broadband connection, plenty of memory and fast processor, so I knew it wasn't any of the solutions described in the FAQ as they all point the trying to increase the amount of resource the game can use, it wasn't using much anyways.

Maybe this can lead to a permenant solution in the game code some day... Rejoice vista (dual core) users ;)


Here are some screen shots to help guide you through it: