I hate all delay between hint that something is wrong and full detail. "I have some bad news" is all I need to get me to focus. I really really hate e.g. the kind of letter from the GP that says "please come and see me about your recent test result for X" because then I have too long to fill with worrying.

There are some things that may take a long time to unfold all the bad news (e.g. a cancer diagnosis - I am thinking of this rather excellent article on terminal illness), but the initial news "I have some bad news, I am afraid you have cancer of the X" is not one I want danced around.