Okay, I just used a registry monitor to figure out what reg key gets modified.
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon
That key contains values "DefaultUserName", "DefaultDomainName" and "AutoAdminLogon" which are changed when you enable or disable auto-login.
Unfortunately, it's not possible to manually enable auto-login, since the password is stored in a different key and it's encrypted.
So basically, TweakUI is the only way.