For Keychain to work automatically, you must have the correct details entered into it.
Assuming you have, the site itself must be setup to actually ask for the password, rather than just present an empty box.
I have to enter my password when I log onto eBay, .Mac, IAVO, CNET, Yahoo, Excite and my Bank, so I guess the answer to your question is Yes, you do have to enter password, unless I have something setup incorrectly.
Storing passwords, or getting the system to remember them, can be dangerous. Consider On-Line Banking. Just go to the website and all your details are automatically displayed. Nice!
P