This is an old one, but I realized I have never covered it: Winlogon GP Extensions.

The key is located here:

• HKLM\SOFTWARE\Microsoft\
  Windows NT\CurrentVersion\
  Winlogon\GPExtensions\
  {GUID}\DllName=<DLL>

Again, it’s an oldie and it’s supported by many startup enumeration programs including e.g. Autoruns. Some web sites list a number of known extensions e.g. here.