I've been to a few forums, and most have a "Show All" tab that will show every reply, not just one page at a time.
When I'm catching up on a thread, I like to use that feature so 1) I don't have to keep clicking each page and 2) so I don't miss anything in between pages or skip a page.
I'm on cable internet so download times aren't a problem, that's why it should just be an option and not a mandatory thing (I'd hate to download everything at once on a dialup connection). Just a thought.