I am using Ghostscript on the command line to extract PDF pages as JPEGs.
Is there any switch that I can set in the command to make them progressive JPEGs or do I need to pipe it through ImageMagick or similar?
You can't create a progressive JPEG with Ghostscript, it doesn't support that. You will have to use some other tool to do that, I suspect your best bet is to create a TIFF and have ImageMagick convert it.