On most Stack Exchange sites, when I visit them I am already logged in if I have logged in before.
Why isn't it the case with Data Explorer?
Global login is not open source, nor really open-source-able.
Since the Data Explorer is, we can't easily enable global login for it.
Having to relogin every day is a right pain -- especially since unlogged-in users have to always fill in the CAPTCHA field to run queries.
Since the promised fixes may be a long time coming, I made a userscript that fixes that.
My version of the script also redirects back to the desired target page after login.
I just released that version on GitHub.
Here's an install link. (Requires the Tampermonkey or the Violentmonkey browser extension.)
For more information, see the script's new home page on Stack Apps.