This is just one of those features that make your life easier but handling all the ssh sessions for you, the best part is that is one of those setup once and forget feature.  Here is a brief introduction on how it works:

According to the ssh-agent man:

     ssh-agent is a program to hold private keys used for public key authenti-
     cation (RSA, DSA).  The idea is that ssh-agent is started in the begin-
     ning of an X-session or a login session, and all other windows or pro-
     grams are started as clients to the ssh-agent program.  Through use of
     environment variables the agent can be located and automatically used for
     authentication when logging in to other machines using ssh(1).

So what gnome did was include an ssh-agent in the gnome-keyring(-daemon), so it has one interface to manage passwords, ssh keys, etc.  Underneath the hood this is how it works:

1. When Gnome starts the gnome-keyring-daemon (if it is enabled in your conf)
2. The keyring manager starts the ssh-agent component and sets up the SSH_AUTH_SOCK variable, that will redirect ssh to make the queries to that socket
3. The SSH agent automatically loads files in ~/.ssh having names starting with id_rsa or id_dsa or any other keys included by using the ssh-add command
   

That does the job.  If you need to get it working on your Gnome installation follow the instructions here.