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AFAIK the information displayed at login is gathered from /etc/issue and /etc/motd. You may also have /etc/issue.net which is used for logins that are not on the console.
The init process spawns a number of gettys which in turn call login to authenticate users. I would imagine that either login spawns a shell when it authenticates a user sucessfully or the getty gets a return value from login and spawns a shell if the value indicates a good authentication attempt. I would have thought the first option to be true, otherwise other calls to login wouldn't work.
You then do what you want in the shell, once the login shell terminates (Linux makes a distinction between a shell and a login shell, I've read a little bit about it in my Linux Kernel book but that was a while ago) the getty is respawned by init ready for the next login.
Make any sense? It a bit sketchy as its not something I understand that well... Any attempts on improvement / correction people? (shouldn't be difficult!)
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