Several desktop environments (Gnome, KDE) automatically start an SSH agent at startup. However, you have to think of running ssh-add before connecting to a server.
Waiting for automatic ssh-add in OpenSSH, you can add this to your .bashrc:
ssh-add -l >/dev/null || alias ssh='ssh-add -l >/dev/null || ssh-add && unalias ssh; ssh'
The alias is created only if the identity is not added, and the alias destroys itself once run.
This way the regular ssh command is used after the identity has been added.
Nice, thanks a bunch =)