cvs login: warning: failed to open /User/user_name/.cvspass for reading: No such file or directory

This error message occured when using CVS to checkout lame.
cvs -d:pserver:anonymous@lame.cvs.sourceforge.net:/cvsroot/lame login

Just ignore it. Continue the checkout:

cvs -z3 -d:pserver:anonymous@lame.cvs.sourceforge.net:/cvsroot/lame co -P lame

Voila, it checks out the lame code with no problemo!