<p>How can I deploy a custom authentication provider in MOSS 2007?</p>

<p>Is there any provided functionality to do this (like a Sharepoint feature)?</p>

<p>Or do I have to install it in the GAC on each box in the farm manually? </p>

The usual approach for installing extensions like this is to use a feature, yes. However, you won't be using any specialized XML as this kind of extension is not catered for explicitly. So how can you do it? By using an essentially empty feature project that contains an Event Receiver assembly. The event receiver assembly is called automatically by sharepoint for 4 different events: install, uninstall, activate and deactivate. I suggest you hook the install and uninstall events to deploy your provider.
http://msdn.microsoft.com/en-us/library/bb862634.aspx
Make sense?
-Oisin