That depends. If you're on a slow connection, the 40 minutes to unpack something are nothing in comparison to the week it took you to download it. If used by the game publisher, the decompression could happen during download (I believe this is how steam does it).

If you're on a metered connection (common in many of the more forgotten parts of the world), the bloated download costs you real money or is simply not possible (or you have to spread it over several periods of data allowance).