Digital takes longer to send out and decode the signal. I'd think the delay should only be a couple seconds, maybe I'm wrong.

Regardless, most stations would put a delay on their analogue signal so the transition between the two would be seamless.

Must be something about my car's electronics. There is always a delay.

And I only use my HD to get FM sound on an AM station. I'm not sure what the point is of listening to an HD FM signal in HD- it's pretty much the same as the real thing, just open to more interference, like fading, in my experience. 

If it's just one station then it's likely the MPX vs HD audio feeds are not time synchronized (ie, analogue Tx is not delayed by 30s).

Once your car radio locks onto the FM carrier, it begins decoding analogue, detects the IBOC, lock and begin decoding (some sort of AAC+SBR+PS), finally it should blend between both seamlessly as HD reception comes and goes when there are errors in the bitstream.

Similar idea to satellite radio when demodulating the terrestrial carrier at the same time as the satellite carrier. Both bitstreams are similar, with different error correction (FEC) and coding types. COFDM for terrestrial, and QPSK on satellite. A/B on each for additional error correction capacity, same bitstream on both but different FEC. Most streams are AACplus like HD IBOC.

XM satellite is quite an interesting tech and no wonder why it won over the Sirius horrible sounding custom codec system.

We need more cheap HD capable radios! Anyone have a portable HD radio?

I have the same one as RadioAaron (mentioned back here) and love it. Essentially deck-of-cards sized (a tad chubbier).