I wasn't able to reproduce this either.
I used Windows XP with the TortoiseHG 0.3 installer as client and Mercurial
0.9.5 with hgweb.cgi with apache2 2.2.3-4+etch4 on the server.

I've noticed that Mercurial tries to reuse connections, but does not send
Connection: keep-alive. If keep-alive is sent, the server switches to chunked
transfer encoding with sometimes extremely small chunks, e.g. 

9
<a href="
13
/cgi-bin/hgweb.cgi?
9
shortlog/
c
509de8ab6f31
2
">
3
-60
5
</a> 


But this only happens if a proxy is used which translates the hg client's request.

mzlamal, jglick: I don't think a proxy is involved with https for you, right?