I've found that if there is only one user account and it does not have a password associated to it, then XP will automatically log in to that account.

Another thing you can do (regardless of the number of user accounts with or without passwords):

Go to the Start menu and choose Run. Type control userpasswords2 and press ENTER.
Uncheck Users must enter a user name and password to use this computer. Click OK.
XP will prompt you to enter the user name and password that will automatically log in on start up.
Click OK and you are done. On next boot XP will auto login just like Win98 used to.

NB - TweakUI (as posted by Conan) does the above

BTW - You don't really think my avatar is cool do you?