Oh, I also forgot to mention that if you're calling ssh-agent directly from a .bashrc or similar file on terminal startup, you may also not get this prompt. You'll know whether or not this is the case by doing:

$ env | grep SSH

If you see something like SSH_AUTH_SOCK=/tmp/launch-WsBdoO/Listeners then you're using the authentication socket started by launchd (presumably when you first login), if it's something else, then you've got some hunting to do in ~/.bashrc, ~/.bash_profile, ~/.zshrc, or whatever. Shouldn't be a problem for fresh installs, but if you're like me and connected to an SSHKeychain-driven ssh-agent in Tiger, then you might have some stuff to remove in those startup files.