The one thing that really annoys me about OSX is its network share tool-set. With Windows you can map a network share to a drive letter, check a box that says 'Reconnect at login' and you are done. In OSX the process of reconnecting to a network share is not nearly as smooth as it should be.
The easy option: using Favourites
The simpliest way of achieving this task is to add the network share as a favourite. To do so go to Finder's menu and select Go -> Connect to Server. In the window enter the type and name of the network share (i.e. cifs://server/share) and press the + button to save it as a favourite. With the favourite saved open your account preferences from the Apple Menu -> System Preferences -> Accounts and go to the Login Items tab. Now open a Finder window and browse to your user directory -> Library -> Favorites and drag the relevant share icon onto the list of login items to have it mounted every time you login.
The problem of lost connections
There is one significant drawback with this technique in that if the connection to the share is lost for some reason (e.g. through sleep mode, server or network failure) OSX will not automatically reconnect to it. This becomes a real pain when trying to use a remote share as your primary iTunes music folder because when iTunes cannot find the share it restores your music directory to its default location. This leads to confusion, missing files and if you are not careful a destroyed music library.
The good news is the automount tool can come to your aid but the bad news is it is not straightforward to setup. Automount is common among the *NIX's (i.e. Linux, BSD, etc.) and works in the background to ensure your network shares are always available after restarts and network failures.