When connecting to remote hosts via Terminal.app in MacOS X, I always get this annoying warning. X11 forwarding is working though ($DISPLAY is set, even I'm not in a real xterm), I only wanted to get rid of this message:

$ ssh bob /bin/true
Warning: No xauth data; using fake authentication data for X11 forwarding.

$ xauth generate $DISPLAY .
xauth:  creating new authority file /Users/alice/.Xauthority
$ ssh bob /bin/true
$