For all that don't know there is a built in widget (called POWER CONTROL) for the Droid that will handle all your wireless setting: wifi, bluetooth, gps, sync, and backlight are all listed on this wigget therefore ellemonating the need for the toggles.
andjarnic: mine does change right away, well as soon as it connects to my network. Go to your settings menu, tap the wireless & networks, go to wifi settings and ensure the network notification check mark is highlighted. also check that your are actually connected to your network this info is on the same screen. If it is a secured network ensure you see it in the available network screen, select the network and type in your passcode.