Uploadprogress is a useful php extension that displays the progress of a file upload.
Till recently I assumed that you couldn't set it up under a shared hosting environment. I'm glad that I was wrong.
This comment in the Drupal forums gives step-by-step instructions on how to do it. (PECL uploadprogress on shared hosting)
I'll have to document the entire process for archival purposes. But some other time. For now its all there in that link.