I have a similar problem with my MBP 15" Unibody using Leopard 10.5.6:
I used to use D-Link DIR-635 wireless router with no issues, the network would connect automatically when waking from sleep.
I upgraded to AirPort Express 2 months ago and noticed that I had to choose my network each time the MBP woke from sleep mode. The AirPort Express was sent back faulty for another issue and I decided to upgrade to the new dual-band Airport Extreme.
However I still have the same sleep issue.
The keychain has been cleared, the tickbox for 'remember this network' is checked under advance settings. I even set up a guest account to test waking up from sleep mode to no avail.
I called Apple technical support and after 90 minutes on the phone, they too couldn't figure out what the problem was. They now want me to perform some kind of reset (without deleting the HDD, can't remember exactly what it was called - soz, my Apple tech knowledge is rubbish!).
Before I go down this route, does anyone know if any other fixes that I can try? I am beginning to think that this is a hardware comapitibility issue rather than a software issue... but why would the MBP work flawlessly with a third party router and not an Apple router? Seems really strange to me.
Anyway, any further tips would be much appreciated.