The main advantage of the update progress is that, it will use your own template to show that an asynchronus method is working.
Example:
<%@ Page Language="C#" AutoEventWireup="true" CodeFile="Default.aspx.cs" Inherits="_Default" %>
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.1//EN" "http://www.w3.org/TR/xhtml11/DTD/xhtml11.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head runat="server">
<title>UpdateProgress control</title>
</head>
<body>
<form id="form1" runat="server">
<asp:ScriptManager ID="ScriptManager1" runat="server" />
<asp:UpdateProgress runat="server" id="PageUpdateProgress">
<ProgressTemplate>
Loading...
</ProgressTemplate>
</asp:UpdateProgress>
<asp:UpdatePanel runat="server" id="Panel">
<ContentTemplate>
<asp:Button runat="server" id="UpdateButton" onclick="UpdateButton_Click" text="Update" />
</ContentTemplate>
</asp:UpdatePanel>
</form>
</body>
</html>