Years ago, webpages loaded faster by using domain sharding. A big website I had used one domain as its primary, but images were on another domain, and there was yet another domain for resources like css and js.
More DNS requests, more TCP connections. At first this is purely slower.
The DNS is cached.
For instance, if you had a 128kbps DSL upstream and each request was 2KB (loaded up with cookies), you're already limited to 8 requests/second. A cookie-less domain for small resources helped this a lot.