The software can make a big difference. Right now the best newsreader *hands down* for fetching headers is Usenet Explorer. UE is very resource efficient and is the only software that supports header compression on all major providers. Compressed headers download in a fraction of the time as uncompressed headers.
Newsleecher is planning to support header compression in future versions. Newsbin Pro was the first to support compression in Astraweb, and has recently added Giganews. (Giganews has its own proprietary SSL/compression tool that will also do essentially the same thing by adding compression and SSL to newsreaders that don't support it.)
Having said all that, I think browsing headers on big groups is often much easier on a usenet search engine like
www.Binsearch.info - which also allows searching for files directly (without having to browse headers).
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