Summary says it all really. I have.. Host * ControlMaster auto ControlPath ~/.ssh/master-%l_%r@%h:%p in my ~/.ssh/config file so that connections automatically create master connections or use a previously created one on the first connect. Unfortunately if I want to use -L or -R (or -D I imagine) then I must remember to add "-o ControlMaster=no" otherwise they don't work.
*** Bug 1609 has been marked as a duplicate of this bug. ***
This has been implemented and will be in OpenSSH 5.4
With the release of 5.4p1, this bug is now considered closed.