Jeff Starr wrote a great tutorial on front-end registration, login and password recovery
taking the similar approach as suggested by onetrickpony.
So take this as a follow up to his answer and as another resource that might help you get it done:
http://digwp.com/2010/12/login-register-password-code/
Now you have two examples how to code this yourself and trust me – it’s definitely worth doing it this (your own) way. It’s not that hard and it gives you freedom, flexibility and reusability that no plugin can offer.