I've had a need to create an encrypted volume on my mac for the company source code. The requirements are not terribly stringent: If someone can log into the machine as me, they win, but otherwise, they should lose. With that set of requirements, you can make it so that the disk is automatically mounted at login.
Follow these steps:
No one else can open the keychain without your login credentials (by default the login keychain has the same password as your account). No one else can mount the volume without breaking either your account, keychain or the password on the volume.
If someone steals your machine and changes the password using a Mac OS X install DVD you are still protected since the keychain password will not be changed and the disk will no longer auto-mount.
This technique doesn't make your account any more secure, but protects the contents of the encrypted volume from techniques that bypass account credentials to get at the disk - such as removing the disk (or booting in target mode) and mounting it as an external drive on some other machine, or booting single-user, or what not.