The utmp, wtmp, and lastlog files are used to track which users are logged in,
but in slightly different ways.

Summary:

The utmp file contains at most one entry per terminal.
The wtmp file has the same format as the utmp file, but has no limit on the
number of entries it contains.
The lastlog file contains at most one entry per UID.

When a user logs in, the entry for the terminal is set in utmp.
When a user logs in, an entry is appended to wtmp.
When a user logs in, the entry for the user's UID is set in lastlog.

When a user logs out, the entry for the terminal is cleared from utmp.
This prevents the utmp file from growing beyond a fixed size.

When a user logs out, an entry is appended to wtmp.  This provides a
complete history of who logged in and out and when.

When a user logs out, nothing happens to the lastlog.

Conclusions:
A terminal should always log to utmp, because it keeps track of who's using
a given terminal device.
A terminal should probably log to wtmp, because it correlates with utmp.
A terminal should not log to lastlog, but a display manager should.

References:
http://netbsd.gw.com/cgi-bin/man-cgi?utmp++NetBSD-current
http://www.netsys.com/sunmgr/1997-12/msg00155.html