Found a very good plugin called Authonly by Owen Winkler. This is something that I have been looking for since I switched to WordPress. The experiment is here. The beauty of it is that you could design a custom login page, e.g. like a typical html home page with login fields. When user is allowed then it takes them directly to your blog without going into the dashboard first. The custom login page is named login.php and should be located in the theme folder. Omitting that file the default wp-login.php is called.
It's best for this plugin to work with another one called Role Manager which allows you to set various rights for your registered users. You could also create new role to suit your particular needs.