Ovidiu Predescu, an old friend and now a Google employee, has written an excellent writeup on using ssh-agent on Windows XP for single authentication for all ssh-based logins. I got to follow his instructions and setup my Windows machines to use this!
A recent San Jose Mercury News article talked about some of the technologies/products for client-side solution to authentication at multiple websites: Windows password manager, roboform, iKey and so on.
Ofcourse, ssh-agent and these web sign-on products address different target markets, but attempt to solve the same problem.
Recently, I came across a variant of this problem -- we have a Java based client program that interacts with a number of different and independent Web Services. These Web Services could assign different usernames and passwords to the client, requiring the client to use something like a password manager.