I noticed that under Tiger (10.4.x) you could use a password-less admin account and just leave the auth field blank for things like installs while logged in.
Leopard (10.5.x) is not so forgiving of blank passwords for admin auth.
Set a password. You really should have a password. It's just good practice. Make it a password you can't easily guess, but is memorable to you. A famous (to me) misspelling works for me. Dictionary attacks fail with misspellings.
If software requesting a password fails, even though you have typed in your password correctly, your user account would have to be a "regular user" account, not admin. The only other possibility is a disallowed character in the password. I would avoid using "Option" characters.