While the former is nicer (and certainly more Mac-like), the latter is required to perform the >console trick, and to logon to users who are not in the list presented.
As it turns out, it's possible to get the Username and Password prompt from the Select a User screen. Simply press and release Option-Escape, then select a user. Very useful, especially since you can easily switch to the console if you are having trouble launching Finder.
Note: This worked on a 10.2 machine we have at work, and still works on my Panther machine.
[robg adds: This hint was in the macosxhints' book, but somehow not on the site (at least, not that I can find). What's even more interesting is that there are a number of ways to do this. The book mentions using Option-Enter then clicking on a username (and this still works in Panther). In addition, I've been using (not sure why) Option-Down Arrow followed by Enter -- I think I prefer this method as it's the fewest keystrokes and doesn't require the mouse.]

