First off, remember that fprint is not entirely stable, and may not work all the time. A list of supported devices is here, and the list of unsupported devices is here.

1. First thing to do is add the [third-party] fprint repository to your sources file ‘/etc/apt/sources.list'

# Fingerprint reader support (fprint)
deb http://ppa.launchpad.net/madman2k/ubuntu hardy main restricted universe multiverse

2. Next, update your sources and install fprint:

$sudo apt-get update
sudo apt-get install fprint-demo libfprint-dev libfprint0 libpam-fprint

3. Now you can enroll your fingers using either the terminal or a graphical user interface.
Terminal:

$ pam_fprint_enroll

GUI:

$ fprint_demo

4. Last thing to do is configure PAM so that the fingerprint reader can be useful. Open up your PAM authentication file and edit it:

$ sudo gedit /etc/pam.d/common-auth

5. Edit it to contain:

$ auth sufficient pam_fprint.so
$ auth required pam_unix.so nullok_secure

Enjoy your Fingerprint Reader Support

Steps 4 and 5 tell Ubuntu to check your fingerprint, and if that fails, then ask your password. This rule has some exceptions, one that I have encountered is on the login screen. I have to scan my fingerprint before typing my password. One thing I did notice is that when you use sudo in the terminal, it asks for your fingerprint, which I thought was pretty cool. One disadvantage is that anything using gksu does not seem to work properly, specifically because it does not tell you to scan your finger when needed.