I suppose that a few delays are adding up:
- The Python interpreter needs a while to start and import the module
- Network communication takes a bit
- Parsing probably consumes only little time but it does
I think there is no straightforward way of speeding things up, especially not the first point. My suggestion is that you have your feeds downloaded on a regularly basis (you could set up a cron job or write a Python daemon) and stored somewhere on your disk (i.e. a plain text file) so you just need to display them at your terminal's startup (echo would probably be the easiest and fastest).
I personally made good experiences with feedparser. I use it to download ~100 feeds every half hour with a Python daemon.