Gustav pointed me to SSHKeychain. I haven't tried it yet, but if it works then it's brilliant.
When I used Linux on my desktop I'd use ssh-agent and have it span all my windows to be able to login to various boxes without typing my password a billion times a day.
SSHKeychain is supposed to do the same thing across sessions on OS X by using the OS X Keychain system. Clever. It knows to lock the keychain and ask for the password again after the computer has been asleep or had the screensaver enabled. It requires me to logout and login again to work, so I haven't tried it yet, but it looks just like what I've been missing all along.
I've been using SSHKeychain since way back when. It's good. Use it!
I've been using SSHKeyChain for about a year, and ai can confirm that it does indeed work, and work great, even for SSH-aware GUI apps (such as Carbon Emacs)!
--Theory
I've been using another version of SSH Agent for a while:
http://www.phil.uu.nl/~xges/ssh/
I think you are adorable.
sshkeychain is great. another handy feature is its tunnel management. (i use it to keep open an ssh tunnel to our work irc server.)
it seems to have some slow memory leaks, though. activity monitor reports it taking up almost 120MB right now, and i know it starts out way below that.
ssh-agent works fine. If you use a half decent screensaver it can automatically remove identities from your agent and you can easily readd them later.
It works great Ask.
sometimes it dies.. but that is VERY infrequent.. (like 1/month or something)