http://us2.php.net/manual/en/features.commandline.php
Also mentions it in Command line options -a.

Reproduction Process (and display):

[root@nebula ~]$ php -a
Interactive shell

php > function __autoload($classname) { echo "boo!\n"; }
php > boo::glah();
boo!
PHP Fatal error:  Class 'boo' not found in php shell code on line 1
[root@nebula ~]$

No. The autoloader doesn't load classes when using -a.

PHP 5.3.0beta2-dev (cli) (built: Feb 17 2009 09:48:08)
Copyright (c) 1997-2009 The PHP Group
Zend Engine v2.3.0, Copyright (c) 1998-2009 Zend Technologies

==== No php.ini (hides auto_prepend_file) and interactive mode

C:>php -n -a
Interactive mode enabled

<?php
echo ini_get('auto_prepend_file');
function __autoload($classname) { echo "No $classname", PHP_EOL;}
echo static_Krypt::EnKryptB64('Richard');
^Z

Fatal error: Class 'static_Krypt' not found in C:\- on line 4

==== Another example
C:>php -n -a
Interactive mode enabled

<?php function __autoload($s) { echo $s;} boo::glah();
^Z

Fatal error: Class 'boo' not found in C:\- on line 1

==== With php.ini (has an auto_prepend_file) and interactive mode

C:>php -a
Interactive mode enabled

<?php
echo ini_get('auto_prepend_file');
function __autoload($classname) { echo "No $classname", PHP_EOL;}
echo static_Krypt::EnKryptB64('Richard');
^Z

auto_loader.php
Fatal error: Cannot redeclare __autoload() (previously declared in 
D:\Data\PHP\Includes\auto_loader.php:18) in C:\- on line 2

==== As above but with no local __autoload to Fatal error.

C:>php -a
Interactive mode enabled

<?php
echo ini_get('auto_prepend_file');
echo static_Krypt::EnKryptB64('Richard');
^Z
auto_loader.php
Fatal error: Class 'static_Krypt' not found in C:\- on line 3

==== Normal mode showing correct output and class accessed via 
autoloader.

C:>php
<?php
echo ini_get('auto_prepend_file');
echo static_Krypt::EnKryptB64('Richard');
^Z
auto_loader.php
gTcYaIFJOBA=

Autoloading of classes does not occur when using PHP in interactive 
mode.