There will obviously still be loading screens for multiplayer levels, just like their will be a loading screen when you first load singleplayer. Much like Uncharted, the game will load further sections of the game during levels and cutscenes, but you will still have to do the initial load when jumping straight in from a menu.
However, given the optimized engine I expect these load times to be much shorter.
Edit:
Many people in this thread seem to be forgetting that the original Uncharted also had no loading during the story mode. Uncharted 2 certainly wasn't the first to do it!