In previous versions of Drupal, the menu item for user/login would be access denied for authenticated users. This meant that you could create a menu link (perhaps in the primary navigation) entitled something like "Login/Register" and point it to the "user/login" path. When the user logged in, the menu item would go away (because they didn't have permission for it anymore).
In Drupal 6, the authenticated user still has permission for user/login. Because of this, the menu item does not disappear from the site navigation once the user is logged in.