This is easy to do. There are two ways to do it: for just you, or for all users of the computer.
If you want to disable it for yourself only, open System Preferences, click Accounts, click Login Options, and uncheck the box that says "Automatically log in as (username)". If it's dimmed, you'll need to click the lock to make changes first (you'll be prompted for your password).
To disable it for all users, open System Preferences, click Security, then check the box that says "Disable automatic login".