In order that you don't give the user mixed messages, I'd say
- Logon form should be on HTTPS
- Anything that they enter private data in should be on HTTP before and after entering it
If you have other, public areas, you might want them customised per user, in which case maybe you'll want those served as https too.
Technically, if you allow them to maintain their session with a non-secure cookie, then their account could be compromised. If you're worried about that, have any authenticated user go through any page which cares via HTTPS.
What we do, is insist that all admins' cookies are secure, but not for normal users, on the grounds that if their accounts are compromised, no really private data can be obtained (only history of purchases and their address, NOT cc details etc, which we don't store).
The admins cookies are secure, therefore they have to be on HTTPS to be authenticated. Our logon pages are secure for all users.
Mark