We demonstrate that the finite rate of dielectric relaxation in liquid crystals which has been ignored previously causes profound effects in the fast dielectric reorientation of the director. We propose a theory of dielectric response in which the electric displacement depends not only on the present (as in the standard theory) but also on the past values of electric field and director. We design an experiment with a dual-frequency nematic in which the standard "instantaneous" model and our model predict effects of opposite signs; the experimental data support the latter model.