We configure OpenSSH to do X11 forwarding by default, and the xauth command is
used to set credentials on the remote machine.  If X is not installed, a failure
attempting to run xauth is harmless, and you can disable forwarding to make the
message going away by using ssh with the "-x" flag.

The problem is that X is installed and terminal hungs up when error appears

Terminal hungs up even if I disable forwarding to X

Does /usr/X11R6/bin/xauth exist on both the client and server?  Are both systems
running OpenSSH?

Yes, I try to login to my own host 

I think the problem started from this error message :
 sshd[7412]: fatal: Read from socket failed: Connection reset by peer
 sshd[7790]: FATAL ERROR: ssh_privkey_read from /etc/ssh2/hostkey failed.

I don't know why sshd trys to read hostkey from /etc/ssh2 because I don't have
such directory

After I updated ssh to version 2.3.0p1-4 problem with xauth dissapeared but now
after establishing connection I have to press ^C to command line appears.

You probably updated to OpenSSH from SSH.com SSH2 which left some dregs in configuration
files.

I got similar symptoms (sometimes) when trying to log on w/ xauth enabled when xauth didn't
exist: the connection was hung up.  I don't remember seeing it in 2.3.0p1+ though.

Yes, this is clearly a misconfiguration issue.