Then I came across the Flex Compiler Shell (fcsh). It is kind of like the old maven 1.0 console plugin. Fcsh starts an interactive shell, in which you can execute compilations. The first compilation is slow like before, but compilations afterwards are much faster. The compiler is loaded and warmed up. In addition, it only does incremental compilation.
As an example: When using the maven plugin as described in my post about building flex with maven, compiling our current flex application into a flash movie takes ~15 secs on my development box. When I run it inside a warmed up fcsh, it takes ~1 second. A 15x times speedup!
Adobe say fcsh is targeted to be included in the Flex3 release, but it is ready now, to be used with Flex2. You just have to download and install it yourself.