If you're doing a huge SELECT or batched INSERT/UPDATEs, the operation may be more efficient -- but the transactions will be longer, which means you will create issues with other connections. unless you grab exclusive locks on tables, you also run a higher risk of integrity errors.
In my experience, if the DB is in active use, you'll be better off with the shortest transactions possible.
I'm a big fan of loading things in parallel instead of serial, but I do that for display -- not to select data for a long write operation.