Understanding the impact of a search system's response latency on its users' searching behaviour has been recently an active research topic in the information retrieval and humancomputer interaction areas. Along the same line, this paper focuses on the user impact of search latency and makes the following two contributions. First, through a controlled experiment, we reveal the physiological effects of response latency on users and show that these effects are present even at small increases in response latency. We compare these effects with the information gathered from self-reports and show that they capture the nuanced attentional and emotional reactions to latency much better. Second, we carry out a large-scale analysis using a web search query log obtained from Yahoo to understand the change in the way users engage with a web search engine under varying levels of increasing response latency. In particular, we analyse the change in the click behaviour of users when they are subject to increasing response latency and reveal significant behavioural differences.