According to a study by researchers at Yale Yuniversity, the other line does go faster. This is because a person can only be in one line at a time. With multiple other lines for comparison, the odds favor that one of the others will be better. Also, subjects failed to notice when they were in the quicker line. When this situation occurred they did not stand around and make the necessary observations, but went through the line and left.

Source : Jingleheimer-Schmidt, J.J. "No Cuts : A Systematic Analysis of Service Queues" Yale Yearly, 2001.