T5 Force Log In

t5-force-log-in.php

<?php # -*- coding: utf-8 -*-
/**
 * Plugin Name: T5 Force Log In
 * Description: Grant access after log in only
 * Plugin URI:  http://toscho.de/?p=2207
 * Version:     2012.08.28
 * Author:      Thomas Scholz
 * Author URI:  http://toscho.de
 * License:     MIT
 * License URI: http://www.opensource.org/licenses/mit-license.php
 */
add_action( 'template_redirect', function() {
	is_user_logged_in() || auth_redirect();
});

If you got a customized login page via front-end, you need to modify code as:

add_action( 'template_redirect', function() {
    if ( !is_page( id_of_login_page ) ) 
        is_user_logged_in() || auth_redirect();
});

or you will get a redirect error.