I've noticed the same here. Seems to be related to latency. The site I'm trying to upload to has about 200-250ms latency. With 512Kbs upload on my ADSL I only get transfers of 5-8KB/s (40-64Kbps) - something is definately wrong. Other SFTP clients are better but no where as good looking and feature packed :)
Can you try PSFTP?
I'm not yet prepared to blame your client Martin. Slow SFTP/SCP/ssh x11 forwarding seems to be the norm across all server types and clients I have tried (most versions of Linux, Windows and Solaris), from ssh1 back in the days before it was "Open". There are a heck of a lot of variables for the sys-admin to (mis)configure on any server and most SSH installations seem to suffer for it.
For the rest of the people above who were talking about slow upload speed on their DSL/ADSL... DSL (misnomer) and ADSL (dls is this too actually) stands for Asyncronous Digital Subscriber Line. Asyncronous means not the same speed in both directions, your typical 3.5 - 5mbps is only downstream, upstream is 800kbps (bits per second) on both. So the best you could possibly hope for on a dsl is 100kilobytes per second on upload, from any application. Cable is often worse and 40-60kilobytes upstream is common.