It would be very nice if GDM integrated with ssh-agent when we type our password. That way we could avoid to open a console to type ssh-add and the password each time we login.
Bad idea, security-wise. There's 2 problems here: 1) The user may not *have* an ssh key, or even *want* one. 2) There's very good reasons to have *different* values for the login password and the ssh key passphrase. The right answer here is for the user to add it to their .xsession, or if it's desired behavior for all users, for the site admin to add code to /etc/X11/gdm/PreSession.
GDM isn't really the right component for this. You'd have to do it with some sort of new pam module. Feel free to file a feature request against the pam component, though.