Beyond annoying. I constantly clear cookies, history, cache, etc. (every session) which, as noted, means I have to sign in to this site again...so I rarely do. If I send or receive a PM, I log in.
Some sites have very simple CAPTCHA "challenges" so perhaps one can set "level of difficulty" or something? For example, some sites have only numbers that are visually distorted.
I'm guessing there is a good reason to have a CAPTCHA at the gate of this site (?) but...it does lessen the likelihood of signing in, for me at least.
My bank has several layers of authentication (credentials and the answer to a "secret" question). Perhaps that would be a more acceptable (or at least a less frustrating) solution?