What e-mail client or program are you using? I find sometimes, especially with AT&T / Yahoo and their new configuration, it doesn't connect the first time and then asks for the password 60% of the time, this could also be caused by intermittent DSL connection drops if your router is set to "connect on demand" and the request times out before the connection can be properly established. One more note, if you have alot of RSS feeds selcted, they will happen first and also time out the mail connection. Of course, I use Outlook 2007, so that's why I ask for program information. Hope this helps, Bill.
If you are using strictly web-mail, that has other settings that can effect it.