Macfusion - how can I auto connect on boot?
Depending on your version of MacOS, you may be able to use Lingon to create a startup script that runs after you login to your mac.  You will likely need to figure out a command line equivalent to whatever you currently do in the finder to connect to a server.  Run that command in the terminal to verify it works, then create a script using Lingon to execute the command immediately after you login to your Mac.

The project used to be hosted on SourceForge, but "as of 2009-07-06, […] is no longer under active development". See new link above.