After seeing it a few times since updating to 10.7.2 and having to click/keypress a few extra times to log in, I was annoyed enough to look up this new “feature”. If you don’t poke around your System Preferences after every update, you might not have noticed a new option under Security & Privacy. Notice how it doesn’t mention “Guest User” anywhere:
Anyway, a simple tick of the checkbox resolves this issue. As with all tweaks, the usual caveats apply: do it at your own risk, know how to reverse the change if you ever change your mind, and as the source article (from OS X Daily) advises, it’s better to keep the Guest User account around if there’s a chance your computer can get stolen.